Categorical fixups

Some fixups for Categoricals.

Fixes: #3678 

* [x] Maybe change Series.cat after the discussion in https://github.com/pydata/pandas/issues/7207 ?
* [ ] remove Series.cat from tab completition if Series is not of dtype category
* [x] fix for the "FIXME" in unittests
* [x] Look at problems in docs (-> hdf support)
* [x] Fixup Comparison thingies...
According to the docs it returns a new array: 

```
np.sort??
[...]
def sort(a, axis=-1, kind='quicksort', order=None):
    """
    Return a sorted copy of an array.
```