TST: split up test_concat.py #37243 - more follows up
 * created test_categorical.py

- [x] closes #37243 
- [ ] tests added / passed
- [x] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

I will finish it tomorrow, i didn't have much free time today. There is not much left, i have to create test_sort and test_invalid and make some small changes. most of the work should be done, all tests are working, it was 291 passed and 1 xfailed before and it's the same now.  I haven't touched test_append_common and test_append, but these files looks ok for me. Before: 
![obraz](https://user-images.githubusercontent.com/66844934/97202340-c19feb00-17b3-11eb-9569-6af850bd1e12.png)

After: 
![obraz](https://user-images.githubusercontent.com/66844934/97202666-3410cb00-17b4-11eb-86ae-f8255e7bc4ab.png)
 couple of comments, ping on green. ok, i will check it in a moment. @jreback everything done Can I ask what does "ping on green" mean? Is it the green "review changes" button in "files changed" section? Or is it just typing comment, so you can see new activity? thanks @laffite56 