TST: add regression test for all-none-groupby
- [X] closes #21624 
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Is the whatsnew entry required if the fix was somewhat silent and only a regression test was added?
