TST: add test to verify column does not lose categorical type when using loc
- [x] closes #16360
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry (not applicable)

Added a test to verify the behavior described in issue #16360. However, I'm not 100% sure about the location of the test.