Catch warning introduced by GH14432 in test case
Follow on to #14432 to catch the newly introduced `FutureWarning` in the `test_groupby_multi_categorical_as_index` test case.
thanks!

of course I just merged a pr where we moved the tests :)

can you move  Haha, yeah, I was a bit confused for a minute there. Changes should be moved to new location now. ## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14902?src=pr) is 84.55% (diff: 100%)
> Merging [#14902](https://codecov.io/gh/pandas-dev/pandas/pull/14902?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will decrease coverage by **<.01%**

```diff
@@             master     #14902   diff @@
==========================================
  Files           144        144          
  Lines         51043      51043          
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
- Hits          43160      43159     -1   
- Misses         7883       7884     +1   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [73bc6cf...c30fa2b](https://codecov.io/gh/pandas-dev/pandas/compare/73bc6cfb35a886b18955b1f0a07f7647f1f1d409...c30fa2bad158ca6735ea1002b420cc6e9b7aca69?src=pr) thanks!