TST: Adds CategoricalIndex DataFrame from_records test (GH32805)
- [x] closes #32805
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

The test checks to make sure `from_records` loads a `DataFrame` with a `CategorigalIndex` as shown in #32805.