BUG: loc-indexing with a slice on a CategoricalIndex
- [x] followup to #29922
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

#29922 didn't handle loc-indexing using a slice on non-string CategoricalIndexes. This fixes that. E.g. we had:

```python
>>> cat_idx = pd.CategoricalIndex([1,2,3], ordered=True)
>>> df = pd.DataFrame({"A": ["foo", "bar", "baz"]}, index=cat_idx)
>>> df.loc[1:2, "A"]
TypeError: cannot do slice indexing on...
```

The above works now.