Bug 29764 groupby loses index name sometimes
- [x] closes #29764
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry´

Issue was fixed for sum and any with c9144ca54dcc924995acae3d9dcb890a5802d7c0.

So the only thing left was to add the index name in `_wrap_transformed_output`. I kept the tests from #33111, to show, that alle cases are now handled correctly.

I hope it is okay, to add a new PR for this?