Fixups for categoricals

This PR will collect the various fixups for Categorical.

See #8078 for the ToDos.

Closes: #8077 -> API/FIX: wrap result cut/qut in Series and make it ordered
Closes: #8074 -> Discussion
Closes: #8078 -> Todos

This has a (passing) unittest for #8138 but no code changes. Not sure what was the change which fixed the bug there...
maybe mention that all of the ``s.cat.set_.../rename/add/remove....`` methods are *inplace* somewhere? (in a note/warning)