.loc against CategoricalIndex with values included in its categories but not appears as codes results in normal Index
import numpy as np
import pandas as pd
index = pd.CategoricalIndex(list('aabbca'), categories=list('cabe'))
df = pd.DataFrame({'A' : np.arange(6,dtype='int64')}, index=index)
# OK
df.loc[['a', 'b']].index
# CategoricalIndex([u'a', u'a', u'a', u'b', u'b'], categories=[u'c', u'a', u'b', u'e'], ordered=False, dtype='category')
# NG, must be CategoricalIndex
df.loc[['a', 'b', 'e']].index
# Index([u'a', u'a', u'a', u'b', u'b', u'e'], dtype='object')
Even though this is tested here, it doesn't check dtype.
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