DOC: fix SA01,ES01 for pandas.errors.CategoricalConversionWarning (#60011)

Author: tuhinsharma121

ci/code_checks.sh

@@ -134,7 +134,6 @@ if [[ -z "$CHECK" || "$CHECK" == "docstrings" ]]; then
         -i "pandas.core.resample.Resampler.var SA01" \
         -i "pandas.errors.AttributeConflictWarning SA01" \
         -i "pandas.errors.CSSWarning SA01" \
-        -i "pandas.errors.CategoricalConversionWarning SA01" \
         -i "pandas.errors.ChainedAssignmentError SA01" \
         -i "pandas.errors.DataError SA01" \
         -i "pandas.errors.DuplicateLabelError SA01" \

pandas/errors/__init__.py

@@ -731,6 +731,15 @@ class CategoricalConversionWarning(Warning):
     """
     Warning is raised when reading a partial labeled Stata file using a iterator.
 
+    This warning helps ensure data integrity and alerts users to potential issues
+    during the incremental reading of Stata files with labeled data, allowing for
+    additional checks and adjustments as necessary.
+
+    See Also
+    --------
+    read_stata : Read a Stata file into a DataFrame.
+    Categorical : Represents a categorical variable in pandas.
+
     Examples
     --------
     >>> from pandas.io.stata import StataReader