BUG: DataFrameGroupBy.transform with axis=1 fails (#36308)
- [x] closes #36308 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Updated `pandas.core.groupby.generic._wrap_transformed_output` as suggested by @rhshadrach but also had to modify `pandas.core.groupby.groupby.pct_change` to get 2 tests passed where the operation passed to `transform` is `pct_change`.

All tests passed except for `pandas/tests/io/test_clipboard.py` and `pandas/tests/io/test_parquet.py` that are already broken on the latest `master` as of September 14, 2020 01:15 UTC.
