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BUG: Have object dtype for empty Categorical.categories (#17249)
* BUG: Have object dtype for empty Categorical ctor
Previously we had a `Float64Index`, which is inconsistent with, e.g., the
regular Index constructor.
* TST: Update tests in multi for new return
Previously these relied worked around the return type by wrapping list-likes
in `np.array` and relying on that to cast to float. These workarounds are no
longer nescessary.
* TST: Update union_categorical tests
This relied on `NaN` being a float and empty being a float. Not a necessary
test anymore.
* TST: set object dtype
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