BUG: Index.fillna silently ignoring 'downcast' kwarg
- [x] closes #44048
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [ ] whatsnew entry

Decided to raise rather than silently give incorrect result.  Haven't decided about deprecation, since there's an argument to be made for trying to make the downcast kwarg/behavior match Series.fillna (which is itself a can of worms).

Found along the way that CategoricalIndex.fillna can be removed; can make this a separate PR upon request.
can you add a whatsnew note. also were some examples in the OP which maybe worth adding as tests