BUG: loc-indexing on a CategoricalIndex with integer categories
- [x] closes #17569
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Bug when indexing with ``.loc`` and the index is a CateggoricalIndex with integer categories.
Got some problems with this, closing temporarily.