groupby.nth lost multiindex
It is bug or not? Because in function `mean` and `first` it is OK.
[link](http://stackoverflow.com/questions/34237462/selecting-column-before-nth-breaks-group-indices/)

```
df = pd.DataFrame({'a': [1, 1, 2, 2], 'b': ['b', 'b', 'b', 'a'], 'c': [1, 2, 3, 4]})
print df
#   a  b  c
#0  1  b  1
#1  1  b  2
#2  2  b  3
#3  2  a  4

#lost multiindex
print df.groupby(['a', 'b']).c.nth(0)
#0    1
#2    3
#3    4
#Name: c, dtype: int64

print df.groupby(['a', 'b']).c.mean()
#a  b
#1  b    1.5
#2  a    4.0
#   b    3.0
#Name: c, dtype: float64
print df.groupby(['a', 'b']).c.first()
#a  b
#1  b    1
#2  a    4
#   b    3
#Name: c, dtype: int64
print df.groupby(['a', 'b']).nth(0).c
#a  b
#1  b    1
#2  a    4
#   b    3
#Name: c, dtype: int64
```
