clean CategoricalIndex.get_loc and improve error message

[topper-123]

This is an offspring from #21699 to do the a cleanup in a contained PR.

self.categories.get_loc(key) can never return -1, so the if (codes == -1): raise KeyError(key) is unnecessary. Instead, if key is not in self.categories, a KeyError is raised straight away.

>>> ci = pd.CategoricalIndex(['a', 'b'], categories=['a', 'b', 'c'])
>>> ci.get_loc('d')
KeyError: 'd'  # both master and this PR

A slightly confusing issue is that if the key is found in categories, but the code is not found in self._engine, the code is shown in the KeyError message. It would probably be more intuitive that the key would be shown:

>>> ci.get_loc('c')
KeyError: 2  # master, confusing IMO
KeyError: 'c'  # this PR

As the error type is unchanged, does this change warrant a whatsnew entry?

[pep8speaks]

Hello @topper-123! Thanks for submitting the PR.

• There are no PEP8 issues in the file pandas/core/indexes/category.py !

[codecov]

Codecov Report

Merging #23091 into master will increase coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           master   #23091      +/-   ##
==========================================
+ Coverage    92.2%    92.2%   +<.01%     
==========================================
  Files         169      169              
  Lines       50924    50925       +1     
==========================================
+ Hits        46952    46954       +2     
+ Misses       3972     3971       -1

Flag	Coverage Δ
#multiple	90.62% <100%> (ø)	⬆️
#single	42.3% <0%> (-0.01%)	⬇️

Impacted Files	Coverage Δ
pandas/core/indexes/category.py	97.54% <100%> (+0.27%)	⬆️

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[jreback]

thanks @topper-123