groupby + shift drops group columns when as_index is False
Using groupby + shift seems to have changed behaviour in 0.17 and 0.18 compared to 0.16.
With as_index=False, I would expect the columns that the groupby is made over to remain in the output dataframe, but they are no longer present.
#### Code Sample, a copy-pastable example if possible

``` python
>>>import pandas as pd
>>>import numpy as np
>>>df = pd.DataFrame({'A': [1.0, 1, 1, 2, 2, 3], 'B': [1.0, 2, 3, 4, 5, 6]})
>>>df
     A    B
0  1.0  1.0
1  1.0  2.0
2  1.0  3.0
3  2.0  4.0
4  2.0  5.0
5  3.0  6.0
>>>df_sorted.groupby('A', as_index=False).shift(1)
     B
0  NaN
1  1.0
2  2.0
3  NaN
4  4.0
5  NaN
```
#### Expected Output

``` python
>>>pd.DataFrame({'A':[np.nan, 1, 1, np.nan, 2, np.nan], 'B':[np.nan, 1, 2, np.nan, 4, np.nan]})
     A    B
0  NaN  NaN
1  1.0  1.0
2  1.0  2.0
3  NaN  NaN
4  2.0  4.0
5  NaN  NaN
```
#### output of `pd.show_versions()`

``` python
INSTALLED VERSIONS
------------------
commit: None
python: 2.7.11.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 58 Stepping 9, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 23.0.0
Cython: 0.24
numpy: 1.10.4
scipy: 0.17.1
statsmodels: None
xarray: 0.7.2
IPython: None
sphinx: None
patsy: None
dateutil: 2.4.1
pytz: 2016.4
blosc: None
bottleneck: 1.0.0
tables: 3.2.2
numexpr: 2.5.2
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.40.0
pandas_datareader: None
```

I have also confirmed the issue on an similar install Linux installation using pandas 0.18.1
