BUG:  GroupBy.apply doesn't add group keys to index whether setting group_keys=True or not.
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.
---
code
```python
import pandas as pd
print(pd.__version__)
data = { 
    'groupby_col': ['A', 'A', 'A', 'A', 'A', 'B', 'B', 'B', 'B', 'B', ], 
    'agg_col': [1, 1, 0, 1, 0, 0, 0, 0, 1, 0], 
} 
df = pd.DataFrame(data)

print(df.groupby('groupby_col', group_keys=True).apply(lambda x: x.rolling(4).mean()))
print(df.groupby('groupby_col', group_keys=False).apply(lambda x: x.rolling(4).mean()))
```
output
```
1.2.3
   agg_col
0      NaN
1      NaN
2      NaN
3     0.75
4     0.50
5      NaN
6      NaN
7      NaN
8     0.25
9     0.25
   agg_col
0      NaN
1      NaN
2      NaN
3     0.75
4     0.50
5      NaN
6      NaN
7      NaN
8     0.25
9     0.25
```

The group keys should be add to index when setting group_keys=True(the default option). And when I use `pandas==1.1.5`, the output is as expected:
```
1.1.5
               agg_col
groupby_col           
A           0      NaN
            1      NaN
            2      NaN
            3     0.75
            4     0.50
B           5      NaN
            6      NaN
            7      NaN
            8     0.25
            9     0.25
   agg_col
0      NaN
1      NaN
2      NaN
3     0.75
4     0.50
5      NaN
6      NaN
7      NaN
8     0.25
9     0.25
```

---
But I find that examples in https://github.com/pandas-dev/pandas/issues/38787#issuecomment-759660512 does work as expected even in 1.2.3:

code
```python
df = pd.DataFrame({"key": [1, 1, 1, 2, 2, 2, 3, 3, 3], "value": range(9)})
print(df.groupby("key", group_keys=True).apply(lambda x: x[:2]))
print(df.groupby("key", group_keys=False).apply(lambda x: x[:2]))
```
output
```
       key  value
key              
1   0    1      0
    1    1      1
2   3    2      3
    4    2      4
3   6    3      6
    7    3      7
   key  value
0    1      0
1    1      1
3    2      3
4    2      4
6    3      6
7    3      7
```

