BUG: Ensure dataframe preserves categorical indices with categorial series
Ensure that when constructing a DataFrame with a list of Series with different CategoricalIndexes, the resulting columns are categorical.

- [x] closes #57592
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
Hi @mroeschke, Unit Tests failures seem unrelated (when running them locally everything is ok). Thanks for the pull request, but it appears to have gone stale. If interested in continuing, please merge in the main branch, address any review comments and/or failing tests, and we can reopen. Dear @mroeschke, could you please give me some feedback? I'd like to understand what's missing in my last changes.  