ENH: add na_action to Categorical.map & CategoricalIndex.map
- [x] closes #44279
- [x] closes #22527
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [x] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.


I've updated again. I noticed that the implicit default for `na_action` is `"ignore"` for `Categorical.map`, while it's `None` generally. This is a bit of an issue because e.g. `Series.map` has a default of `None` and that can't be changed, so there's some mismatch when calling the `Categorical` directly compared to doing it through `Series.map`.

So I've set the default value of `na_action="ignore"` in `Categorical.map` as being deprecated and set to be changed in the next version. I’ve simplified the implementation. Ping. Thanks @topper-123 