added test to indexing on groupby, #32464
- [x] closes #32464
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them

This makes sure an index of a groupby with more then one column is always a MultiIndex.
