BUG: iloc misbehavior with pd.Series: sometimes returns pd.Categorical, fixes #14580
 - [x] closes #xxxx
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``
 - [x] whatsnew entry

closes https://github.com/pandas-dev/pandas/issues/14580

## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14642?src=pr) is 84.53% (diff: 90.00%)
> Merging [#14642](https://codecov.io/gh/pandas-dev/pandas/pull/14642?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will decrease coverage by **0.02%**

```diff
@@             master     #14642   diff @@
==========================================
  Files           144        144          
  Lines         51058      51061     +3   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
- Hits          43177      43166    -11   
- Misses         7881       7895    +14   
  Partials          0          0          
```

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 @nathalier Can you add a whatsnew note for this? @jorisvandenbossche I added whatsnew to 0.19.2. Is it OK? thanks!