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
Actually I would like to keep it that way: the codepath for that never touches categoricals, so I think that whoever needs labels=False knows what is returns...

This is actually an example of "0,1,...integer labels", which is used throughout the pandas codebase, where I find the usage of "labels" irritating. In most of the places in pandas, they are used as "0,1,... labels which indicate in which group a row belongs". I actually start to read "labels = group indicator".