BUG: Validate the ordered parameter for Categorical
Title is self-explanatory.  Closes #14058.

Looks good to me!
 ## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/14059?src=pr) is 85.27% (diff: 100%)

> Merging [#14059](https://codecov.io/gh/pydata/pandas/pull/14059?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will increase coverage by **<.01%**

``` diff
@@             master     #14059   diff @@
==========================================
  Files           139        139          
  Lines         50440      50444     +4   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          43012      43016     +4   
  Misses         7428       7428          
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [ae4ffac...fe11176](https://codecov.io/gh/pydata/pandas/compare/ae4ffac560f9f6fbf1139dd4f391da52d12cdcce...fe111762c1b2652226aea96594cc8d07eaf84592?src=pr)
 @gfyoung thanks!
