DOC: Consistency with warning messages

[paulpellissiercompass]

Pandas version checks

• I have checked that the issue still exists on the latest versions of the docs on main here

Location of the documentation

The change is in https://github.com/pandas-dev/pandas/blob/main/pandas/core/dtypes/common.py#L501

Documentation problem

I think that to be consistent the type on the warning should be pd.CategoricalDtype.
This is the case for all the other pandas type and in all the other warnings.

Suggested fix for documentation

As explained this should be changed to pd.CategoricalDtype instead of CategoricalDtype only.
For consistency with all the other warnings & logic as CategoricalDtype is a pandas type