Add regression tests

[phofl]

Search for a minimal example and the confirmation that it's fixed. Add the test then

• BUG: concat_{categorical, compat} leads to erroneous result on non-ns datetime-EA  pandas-dev/pandas#33331
• BUG: category index levels casted to non-category dtype in merge pandas-dev/pandas#37480
• BUG: v1.3.0 Introduces Unexpected Retyping of Categorical Column with NaN inside pandas-dev/pandas#43996
• BUG: Unexpected behavior math operations using multiindexes pandas-dev/pandas#51500
• Inconsistent behaviour when assigning to series? pandas-dev/pandas#25548
• IntervalIndex level in MultiIndex does not work as expected pandas-dev/pandas#25298
• REGR: setting column with setitem should not modify existing array inplace pandas-dev/pandas#33457
• .loc assignment with empty label list should not convert dtypes pandas-dev/pandas#29707
• BUG: .groupby() produces MultiIndex with NaN in levels instead of encoded in codes pandas-dev/pandas#54347

[MovsisyanM]

Working on .loc assignment tests

[nepshshsh]

Working on #51500 tests

[KevorkSulahian]

will take a go at #37480

[urmikakasi]

taking a shot at pandas-dev/pandas#33331