ARROW-3652: [Python][Parquet] Add unit test exhibiting that pandas.CategoricalIndex survives roundtrip to Parquet format

[wesm]

This was addressed by ARROW-3246 and associated issues, but this adds a unit test asserting the expected behavior viz-a-viz a CategoricalIndex (since pandas row indexes go through various gymnastics on their way to and from Parquet files)

[codecov-io]

Codecov Report

Merging #5117 into master will decrease coverage by 22.61%.
The diff coverage is 100%.

@@             Coverage Diff             @@
##           master    #5117       +/-   ##
===========================================
- Coverage   87.62%   65.01%   -22.62%     
===========================================
  Files        1014      495      -519     
  Lines      145828    67082    -78746     
  Branches     1437        0     -1437     
===========================================
- Hits       127788    43611    -84177     
- Misses      17678    23471     +5793     
+ Partials      362        0      -362

Impacted Files	Coverage Δ
python/pyarrow/tests/test_parquet.py	96.42% <100%> (+0.02%)	⬆️
cpp/src/arrow/util/memory.h	0% <0%> (-100%)	⬇️
cpp/src/gandiva/date_utils.h	0% <0%> (-100%)	⬇️
cpp/src/arrow/util/memory.cc	0% <0%> (-100%)	⬇️
cpp/src/gandiva/decimal_type_util.h	0% <0%> (-100%)	⬇️
cpp/src/arrow/compute/logical_type.h	0% <0%> (-100%)	⬇️
cpp/src/parquet/hasher.h	0% <0%> (-100%)	⬇️
cpp/src/gandiva/basic_decimal_scalar.h	0% <0%> (-100%)	⬇️
cpp/src/arrow/compute/kernels/boolean.cc	0% <0%> (-100%)	⬇️
cpp/src/arrow/compute/operation.h	0% <0%> (-100%)	⬇️
... and 816 more

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[wesm]

+1