BUG: Groupby lost index, when one of the agg keys had no function all…
…ocated

- [x] closes #32580
- [x] closes #33545 (is a duplicate of 32580)
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The issue was the concatenation with an empty DataFrame and the result of the min function. This resulted in the lost index. 

I changed the input for the concatenation, so that only non empty DataFrames would be concatenated. We have to catch the case, that all DataFrames are empty, because this would result in an error.