DOC: add whatsnew

Author: arw2019

doc/source/whatsnew/v1.2.0.rst

@@ -359,6 +359,7 @@ Indexing
 - Bug in :meth:`Index.sort_values` where, when empty values were passed, the method would break by trying to compare missing values instead of pushing them to the end of the sort order. (:issue:`35584`)
 - Bug in :meth:`Index.get_indexer` and :meth:`Index.get_indexer_non_unique` where int64 arrays are returned instead of intp. (:issue:`36359`)
 - Bug in :meth:`DataFrame.sort_index` where parameter ascending passed as a list on a single level index gives wrong result. (:issue:`32334`)
+- Bug in :meth:`DataFrame.reset_index` was incorrectly raising a ``ValueError`` for input with a :class:`MultiIndex` with missing values in a level with ``Categorical`` dtype (:issue:`24206`)
 
 Missing
 ^^^^^^^