BUG/API: Categorical doesn't support categories with tz
Creating `Categorical` from `DatetimeIndex` with tz results in GMT.

```
import pandas as pd
idx = pd.date_range('2011-01-01', periods=5, freq='M', tz='US/Eastern')
idx
# DatetimeIndex(['2011-01-31 00:00:00-05:00', '2011-02-28 00:00:00-05:00',
#                '2011-03-31 00:00:00-04:00', '2011-04-30 00:00:00-04:00',
#                '2011-05-31 00:00:00-04:00'],
#               dtype='datetime64[ns]', freq='M', tz='US/Eastern')

pd.Categorical(idx)
# [2011-01-31 05:00:00, 2011-02-28 05:00:00, 2011-03-31 04:00:00, 2011-04-30 04:00:00, 2011-05-31 # 04:00:00]
# Categories (5, datetime64[ns]): [2011-01-31 05:00:00, 2011-02-28 05:00:00, 2011-03-31 04:00:00
#                                 , 2011-04-30 04:00:00, 2011-05-31 04:00:00]
```
