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I'm going to make a pull request for this one, but just wanted to check on the strategy, in case I'm missing something else.
This appears to be an issue just for Categoricals in Series. Attempting to make a DataFrame of Categoricals with a mismatched index raises as expected. The issue is due to the fact that CategoricalBlock subclasses NonConsolidatableMixIn which sets _validate_ndim = False, so the check isn't done when constructing a Series with a Categorical. Setting that value to true elsewhere to fix this, say in CategoricalBlock, breaks functionality elsewhere. So it seems that a shallow fix in Series would be most appropriate.
This should probably raise.
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