df.groupby(df.index) drops index info when df has a MultiIndex
#### Code Sample, a copy-pastable example if possible

```python
>>> df = pd.DataFrame( 
    {'a': list(range(10))},
    index=pd.MultiIndex.from_arrays(
        [[0,1,0,1,0,1,0,1,0,1], [0,1,2,0,1,2,0,1,2,0]],
        names=['l1', 'l2'])
)

>>> df
       a
l1 l2   
0  0   0
1  1   1
0  2   2
1  0   3
0  1   4
1  2   5
0  0   6
1  1   7
0  2   8
1  0   9

# explicitly groupby on level names or indices
>>> df.groupby(['l1', 'l2']).sum()  # or df.groupby(level=list(range(df.index.nlevels))).sum()
        a
l1 l2    
0  0    6
   1    4
   2   10
1  0   12
   1    8
   2    5

# groupby on the multi index itself
# instead of a MultiIndex DataFrame,
# returns a single-level-indexed DataFrame with tuples in the index
>>> df.groupby(df.index).sum()
         a
(0, 0)   6
(0, 1)   4
(0, 2)  10
(1, 0)  12
(1, 1)   8
(1, 2)   5
```
#### Problem description
When you group a DataFrame, whose index is a MultiIndex, on its index, resulting aggregations will be a DataFrame with a single-level index containing the tuples from the original MultiIndex. This is inferior to the behavior you obtain when passing the level names to `df.groupby`, which returns a DataFrame with the same MultiIndex levels and names.
#### Expected Output
When `df` has a MultiIndex, `df.groupby(df.index)` should be be identical to `df.groupby(level=list(range(df.index.nlevels)))` (or `df.groupby(df.index.names)` in the event that all of `df`'s index levels are named).
#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.8.final.0
python-bits: 64
OS: Darwin
OS-release: 18.2.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.23.4
pytest: 4.0.2
pip: 18.1
setuptools: 40.6.3
Cython: None
numpy: 1.15.4
scipy: 1.1.0
pyarrow: None
xarray: None
IPython: 7.2.0
sphinx: None
patsy: 0.5.1
dateutil: 2.7.5
pytz: 2018.7
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 3.0.2
openpyxl: None
xlrd: 1.2.0
xlwt: None
xlsxwriter: None
lxml: None
bs4: 4.6.3
html5lib: 1.0.1
sqlalchemy: 1.2.15
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
</details>
