TST: Added test for upcasting to object when concatinating on categorical indexes with non-identical categories
This PR simple adds a test for upcasting to object when concatinating on categorical indexes with non-identical categories.

- [x] closes #17629
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

One of the azure pipelines failed, because it timed out after 60 min. Is this something that just happens sometimes or does it indicate there is something wrong with the PR? thanks @P-Tillmann very nice!