Fix GH-29442 DataFrame.groupby doesn't preserve _metadata
This bug is a regression in v1.1.0 and was introduced by the fix for GH-34214 in commit [6f065b].

Underlying cause is that the `*Splitter` classes do not use the `._constructor` property and do not call `__finalize__`.

Please note that the method name used for `__finalize__` calls was my best guess since documentation for the value has been hard to find.

[6f065b]: https://github.com/pandas-dev/pandas/commit/6f065b6d423ea211d803e8be93c27f547541c372

- [x] closes #29442
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
