BUG: Categorical(Index) passed as categories
- [x] closes #17884
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

@TomAugspurger I am not sure we had a discussion about that before, but to me it does not make many sense to have a CategoricalIndex as the categories of a Categorical/CategoricalIndex, so I think we should convert passed categories (which is what this PR is doing). 
Alternative to fix #17884 is to fix the repr code to deal with Categorical categories.