BUG: obj.loc[listlike] with missing keys and CategoricalIndex
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This behavior was deprecated for all other Index subclasses a few years ago and finally removed in 1.0.  AFAICT not removing it for CategoricalIndex was an oversight. xref https://github.com/pandas-dev/pandas/commit/8ab61851eeae0d16deaa2f6eafcf59393b06aaeb#r44233424