DataFrameGroupBy.first() affects group without assignment 
#### Code Sample, a copy-pastable example if possible

```python
df = pd.DataFrame({'A' : ['foo', 'bar', 'foo', 'bar'], 'B' : [1, 2, 3, 4]})
grouped = df.groupby('A')
print(grouped.apply(lambda x: x))
grouped.first()
print(grouped.apply(lambda x: x))
```

Output:
```
     A  B
0  foo  1
1  bar  2
2  foo  3
3  bar  4

   B
0  1
1  2
2  3
3  4
```

#### Problem description

The invoking method, without re-assignment of result or specifying that it should work in place, should not affect the object upon which it is being called.

#### Expected Output
```
     A  B
0  foo  1
1  bar  2
2  foo  3
3  bar  4

     A  B
0  foo  1
1  bar  2
2  foo  3
3  bar  4
```

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.6.7.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-62-generic
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 0.25.0
numpy            : 1.17.0
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.2.1
setuptools       : 40.6.3
Cython           : 0.27.3
pytest           : 3.0.7
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.2.6
html5lib         : None
pymysql          : None
psycopg2         : 2.7.3.2 (dt dec pq3 ext lo64)
jinja2           : 2.10
IPython          : 7.2.0
pandas_datareader: None
bs4              : 4.6.3
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.2.6
matplotlib       : 2.0.2
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : 0.11.0
pyarrow          : 0.13.0
pytables         : None
s3fs             : None
scipy            : 1.0.0
sqlalchemy       : 1.3.7
tables           : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None

</details>
