Describe the workflow you want to enable

This is a follow up task for #25677

It would be nice to allow users to specify a per feature number of maxcategories instead of having a global limit as implemented in #25677.

More details in the linked comment.

Describe your proposed solution

Allow users to pass a list of shape (n_features,) or a dict mapping column name to max_categories values to specify the number of maximum categories per feature.

Describe alternatives you've considered, if relevant

No response

Additional context

No response