REF: remove Categorical._shallow_copy
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] 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

@phofl parts of this may be worth doing in #40967
I'll move it over later today