[DEPR]: Deprecate setting nans in categories
WIP still

Closes https://github.com/pydata/pandas/issues/10748

I have to run for now, but will pick this up later today.
I think I'm missing a few in the tests, since the warning is showing up in a bunch of places (there's a way to convert those to errors for testing right?)

I had to refactor a couple function that were setting `._categories` directly instead of using `Categorical._set_categories`. I kept that in a separate commit. Could do a bit more refactoring with the `validate_categories` stuff, but that can be separate.

And I need to figure out the proper `stacklevel` for this warning. I think I used 3 for now.

@jreback cherry picked your PR, thanks for that. I can squash down to one commit if you want.

I'll try to do a perf test today.
 squash up to you. yeh just do a quick perf test. merge when green.
 @jorisvandenbossche Addressed your 3 points. I also
- Changed the level heading for `Differences to R's factors` to move it out one (it was under the `Missing Data` section)
- Added a note to the `Differences` section say that R does allow missing `levels / categories`, while pandas doesn't.

running asv now. The only categorical test is in `concat` (not sure if this touches the fastpath constructor). Might add another test.
 @jreback 

``` python
In [14]: %timeit Categorical(codes, cat_idx, fastpath=True)
100 loops, best of 3: 4.01 ms per loop

In [15]: %timeit Categorical(values, cat_idx)
1 loops, best of 3: 279 ms per loop
```

:+1: I've got an asv benchmark here. Just wrote and pushed an `asv` test for the Categorical constructor. Running it before and after your commit now. I'm guessing it should be similar to those numbers though since fastpath wasn't really skipping much before.
 @TomAugspurger awesome

yeh in dask `Categoricals` are created a lot and just want to fastpath them (e.g. with `from_codes`), but the `is_unique` check is not necessary (but is currently done) on a fair amount. So this is good.
 asv doesn't show much of a difference (assuming I ran this correctly).

``` bash
asv run 30f672c..8d87f3b --bench=categorical_constructor
· Fetching recent changes
· Creating environments
· Discovering benchmarks
·· Uninstalling from py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt.
·· Building for py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt...............................
·· Installing into py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt..
· Running 4 total benchmarks (2 commits * 1 environments * 2 benchmarks)
[  0.00%] · For pandas commit hash 8d87f3be:
[  0.00%] ·· Building for py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt...................................
[  0.00%] ·· Benchmarking py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt
[ 25.00%] ··· Running categoricals.categorical_constructor.time_fastpath                         5.84ms
[ 50.00%] ··· Running categoricals.categorical_constructor.time_regular_constructor            250.19ms
[ 50.00%] · For pandas commit hash e757e8a8:
[ 50.00%] ·· Building for py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt......................................
[ 50.00%] ·· Benchmarking py3.4-Cython-matplotlib-numexpr-numpy-openpyxl-scipy-sqlalchemy-tables-xlrd-xlwt
[ 75.00%] ··· Running categoricals.categorical_constructor.time_fastpath                         4.83ms
[100.00%] ··· Running categoricals.categorical_constructor.time_regular_constructor            246.23ms
```

Those two hashes are

``` git
8d87f3b move NaN deprecation warning to _validate_categories, cleanup a bit
e757e8a DEPR: No NaNs in categories
```
 ok, merge away then
 Merged, thanks.
