Groupby on multiindex with missing data in group keys raises IndexError
#### Code Sample, a copy-pastable example if possible

```python
foo= pd.DataFrame([['x', np.nan, 1]], columns = ['A', 'B', 'C']).set_index(['A', 'B'])
foo.groupby(level = ['A', 'B']).C.sum()
IndexError: cannot do a non-empty take from an empty axes.

# while this is expected, as a comparison
bar = pd.DataFrame([['x', np.nan, 1]], columns = ['A', 'B', 'C'])
bar.groupby(level = ['A', 'B']).C.sum()
Series([], Name: C, dtype: int64)
```
#### Problem description
It would be better if pandas can either return the same result as the 'bar' case, or raise another meaningful exception and document this case somewhere (e.g. [here](http://pandas.pydata.org/pandas-docs/stable/groupby.html#groupby-missing)))

#### Expected Output
Series([], Name: C, dtype: int64)
#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 2.7.12.final.0
python-bits: 64
OS: Linux
OS-release: 3.10.0-229.el7.x86_64
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8

pandas: 0.18.1
nose: None
pip: None
setuptools: None
Cython: None
numpy: 1.10.4
scipy: None
statsmodels: None
xarray: None
IPython: None
sphinx: None
patsy: None
dateutil: 2.4.2
pytz: 2016.4
blosc: None
bottleneck: 1.0.0
tables: None
numexpr: 2.4.6
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: None
httplib2: 0.9.2
apiclient: 1.2
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: None
boto: 2.22.1
pandas_datareader: None

</details>
