API: CategoricalIndex.append fallback to concat_compat
- [x] closes #14586
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The main thing being changed here is `CategoricalIndex._concat` to better match the behavior of all the other `FooIndex._concat` methods.  Everything else being changed here is just cleanup that this makes possible.

cc @jorisvandenbossche 