BUG: Dataframe.groupby.apply misplaces Index within object
- [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 Sample, a copy-pastable example

From https://replit.com/@tlaytongoogle/DFGroupbyBadIndex:

```
import pandas as pd

class Wrapper:
  def __init__(self, value):
    self.value = value

df = pd.DataFrame({'key': ['a', 'b']}, index=['foo', 'bar'])
print('df:\n' + str(df))

def f(group_df):
  print('group_df:\n' + str(group_df))  # Correct
  return Wrapper(group_df.index)

y = df.groupby('key').apply(f)

print('Value within `a`:\n' + str(y.loc['a'].value))  # Correct
print('Value within `b`:\n' + str(y.loc['b'].value))  # Ought to be `pd.Index(['foo'])``
```

#### Problem description

When `DataFrame.groupby.apply` is given a function that returns an object, which in turn has a field containing an `Index`, the resulting `Series` of objects is incorrect in a specific way: the objects' fields all contain the same `Index`, which only one of those objects ought to contain, instead of each containing the correct `Index` as it appeared in the return value of the function.

#### Expected Output

See reproduction above. Note that the `Index` values are all correct as printed from within the applied function, but not as later printed from the returned `Series`.

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

<details>

INSTALLED VERSIONS
------------------
commit           : 2cb96529396d93b46abab7bbc73a208e708c642e
python           : 3.8.9.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.0-1043-gcp
Version          : #46-Ubuntu SMP Mon Apr 19 19:17:04 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.4
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 19.3.1
setuptools       : 49.2.1
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.3
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.4.13
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
