Incorrect docs for merging categoricals
The documentation for merging categorical arrays ([here](https://pandas.pydata.org/pandas-docs/stable/user_guide/categorical.html#merging)) states that calling `pd.concat` on two data frames with categorical columns will throw an error. This doesn't throw an error, and probably shouldn't following #13767.

Here's the example shown in the docs:

```python
import pandas as pd
cat = pd.Series(["a", "b"], dtype="category")
vals = [1, 2]
df = pd.DataFrame({"cats": cat, "vals": vals})
df_different = df.copy()
df_different["cats"].cat.categories = ["c", "d"]
try:
    pd.concat([df, df_different])
except ValueError as e:
    print("ValueError:", str(e))
```