MAINT: Removed some warnings in tests
Per discussion with @jreback <a href="https://github.com/pydata/pandas/pull/13671#issuecomment-233508468">here</a>.

## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/13702?src=pr) is **84.52%**

> Merging [#13702](https://codecov.io/gh/pydata/pandas/pull/13702?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will decrease coverage by **<.01%**

``` diff
@@             master     #13702   diff @@
==========================================
  Files           141        141          
  Lines         51145      51145          
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
- Hits          43233      43230     -3   
- Misses         7912       7915     +3   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last updated by [8acfad3...e7292d3](https://codecov.io/gh/pydata/pandas/compare/8acfad343c88760a6d09fea221996dd50393fa8a...e7292d374c9d43f7be2dc636cb9aaefa88a58164?src=pr)
 @jreback : it seems like `test_categorical.py` has A LOT of tests where they expect to use `np.nan` as a category.  Does it make sense to modify / remove them?
 can't be very many as we have a warning for it
I only see a few
 1) A Ctrl+F returns 30+ results (all of them caught with `tm.assert_produces_warnings(FutureWarning)`
of course).
2) So is that a yes or no?
 there are warnings but should not be from that

pls show an example or 2
 1) Constructor tests <a href="https://github.com/gfyoung/pandas/blob/feecb8b59d9417963d3e2945d9c38894bd3834b8/pandas/tests/test_categorical.py#L155">here</a> (just testing that duplicates get rejected)

2) Describing with `NaN` categories <a href="https://github.com/gfyoung/pandas/blob/feecb8b59d9417963d3e2945d9c38894bd3834b8/pandas/tests/test_categorical.py#L612">here</a>

3) Another constructor test <a href="https://github.com/gfyoung/pandas/blob/feecb8b59d9417963d3e2945d9c38894bd3834b8/pandas/tests/test_categorical.py#L1137">here</a>.

4) This entire test <a href="https://github.com/gfyoung/pandas/blob/feecb8b59d9417963d3e2945d9c38894bd3834b8/pandas/tests/test_categorical.py#L1147">here</a>.

5) Setter tests <a href="https://github.com/gfyoung/pandas/blob/feecb8b59d9417963d3e2945d9c38894bd3834b8/pandas/tests/test_categorical.py#L1429">here</a>.

Perhaps I'm conflating unnecessary tests with backwards compat tests since the code still has to work with this deprecated behaviour, not sure...
 yeah these are all fine
when this behavior is removed in the future the tests can be changed

for now since we have enough catching of the warning
prob just fix the examples that were causing a warning (rather than catch them)
 Okay, sounds good.  I'll fix the other one then.
 @jreback : Removed the previous warnings, and Travis is still passing.  Ready to merge if there are no other concerns.
 ty!
