COMPAT: remove Categorical pickle compat with Pandas < 0.16
- [ ] closes #xxxx
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Removes Categorical pickle compat with Pandas < 0.16.

I've added a ``categorical.pickle`` file to replace the deprecated file. It was create like this:

```python
>>> cat = pd.Categorical(['a', 'b', 'c', 'd'])
>>> pickle.dump(cat, open(<filepath>, 'wb'))
```

why close?  ive been looking forward to seeing these big chunks of pickle compat code removed Sorry, I saw there were errors, and don't have time today to figure them out and didn't want to leave a failing PR open too long.

I'll open the PR again, when I figure out the problem. Reopened and tests passed.
 @jbrockmendel , agree with these changes? Small question, otherwise LGTM I’ve renamed the file. @jbrockmendel ? Ok to pull in? pickle compat is way outside my area of expertise.  @jorisvandenbossche? @topper-123 can you merge master on this to be safe? If no other feedback in 2 days let's get this merged I've rebased. Thanks @topper-123  There are other <0.16 pickle tests out there.  Can we get rid of those too?  `tests.tseries.test_offsets.test_pickle_v0_15_2` is a blocker for cythonizing DateOffset. I think so - we are only guaranteed backwards compatible to pandas 0.20.3 as of the 0.25 release

see #27082