minor inconsistency in Categorical.remove_categories error message

doc/source/whatsnew/v1.0.0.rst

@@ -223,7 +223,7 @@ Categorical
 - Bug where :func:`merge` was unable to join on categorical and extension dtype columns (:issue:`28668`)
 - :meth:`Categorical.searchsorted` and :meth:`CategoricalIndex.searchsorted` now work on unordered categoricals also (:issue:`21667`)
 - Added test to assert roundtripping to parquet with :func:`DataFrame.to_parquet` or :func:`read_parquet` will preserve Categorical dtypes for string types (:issue:`27955`)
--
+- Changed the error message in :meth:`Categorical.remove_categories` to always show the invalid removals as a set (:issue:`28669`)
 
 
 Datetimelike

pandas/core/arrays/categorical.py

@@ -1120,7 +1120,7 @@ def remove_categories(self, removals, inplace=False):
 
         # GH 10156
         if any(isna(removals)):
-            not_included = [x for x in not_included if notna(x)]
+            not_included = {x for x in not_included if notna(x)}
             new_categories = [x for x in new_categories if notna(x)]
 
         if len(not_included) != 0:

pandas/tests/arrays/categorical/test_api.py

@@ -1,3 +1,5 @@
+import re
+
 import numpy as np
 import pytest
 
@@ -339,9 +341,13 @@ def test_remove_categories(self):
         tm.assert_categorical_equal(cat, new)
         assert res is None
 
-        # removal is not in categories
-        with pytest.raises(ValueError):
-            cat.remove_categories(["c"])
+    @pytest.mark.parametrize("removals", [["c"], ["c", np.nan], "c", ["c", "c"]])
+    def test_remove_categories_raises(self, removals):
+        cat = Categorical(["a", "b", "a"])
+        message = re.escape("removals must all be in old categories: {'c'}")
+
+        with pytest.raises(ValueError, match=message):
+            cat.remove_categories(removals)
 
     def test_remove_unused_categories(self):
         c = Categorical(["a", "b", "c", "d", "a"], categories=["a", "b", "c", "d", "e"])