Index(data=..., dtype=CategoricalDtype(...)) doesn't maintain dtype
#### Code Sample, a copy-pastable example if possible

```pythonc
>>> c = pd.api.types.CategoricalDtype(categories=['German', 'English', 'French'],
...                                   ordered=True)
>>> pd.Index(['German', 'English', 'French'], dtype=c)
CategoricalIndex(['German', 'English', 'French'],
                 categories=['English', 'French', 'German'],
                 ordered=False, dtype='category')
```
#### Problem description

Notice that the index isn't ordered and the categories have changed location.

If construction goes through CategoricalIndex, everything is ok.

#### Expected Output

Expected output is ``CategoricalIndex(['German', 'English', 'French'], categories=['German', 'English', 'French'], ordered=True)``.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.6.3.final.0
python-bits: 32
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 78 Stepping 3, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.21.1
pytest: 3.2.1
pip: 9.0.1
setuptools: 36.5.0.post20170922
Cython: 0.26.1
numpy: 1.11.3
scipy: 1.0.0
pyarrow: None
xarray: None
IPython: 6.1.0
sphinx: 1.6.5
patsy: None
dateutil: 2.6.1
pytz: 2017.2
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.1.0
openpyxl: 2.4.8
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 1.0.1
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.9.6
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
</details>
