Fixups for categoricals

This PR will collect the various fixups for Categorical.

See #8078 for the ToDos.

In the end should Close: #8074


Closes: #8077 -> API/FIX: wrap result cut/qut in Series and make it ordered
Yep, also found that but now it's complicated as it touches the categoricla tests :-( Probably end up with just one PR