TST: Add test to verify align behaviour on CategoricalIndex
verify that aligning two dataframes with a `CategoricalIndex` does not change the type of the index.

- [x] closes #28397
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry (not applicable?)

@jorisvandenbossche anything that still needs to happen here? Hello @MBrouns! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:



There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-07-06 14:58:43 UTC @MBrouns can you merge master & push? Will hopefully fix the CI issue. thanks @MBrouns very nice