BUG: groupby.plot.kde applies to index as well
#### Code Sample, a copy-pastable example if possible

```python
# Your code here
%matplotlib inline
import pandas as pd
import numpy as np

np.random.seed(0)
df = pd.DataFrame(np.random.random((10,2)), columns=['x', 'y' ])
df['cat'] = 1

df.groupby('cat').plot.kde()
```
#### Problem description

This results in 4 plots (or 2 plots after #21943).

Although the issue seems similar to #21609 it is coming from a different source (`gaussian_kde` is applied to index which is constant and leads to an exception that is then passed, taking the ~~apply slow path~~ alternate route using `_group_selection_context` afterwards). 

The following , on the other hand produces the desired result:

```python
%matplotlib inline
import pandas as pd
import numpy as np

np.random.seed(0)
df = pd.DataFrame(np.random.random((10,2)), columns=['x', 'y' ])
df['cat'] = 1

df.groupby('cat')[['x', 'y']].plot.kde()
```

#### Expected Output
One plot
#### Output of ``pd.show_versions()``

<details>

No module named 'dask'

INSTALLED VERSIONS
------------------
commit: None
python: 3.6.6.final.0
python-bits: 64
OS: Darwin
OS-release: 13.4.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.24.0.dev0+483.gd5c909c.dirty
pytest: 3.6.2
pip: 18.0
setuptools: 39.2.0
Cython: 0.28.3
numpy: 1.14.5
scipy: 1.1.0
pyarrow: None
xarray: None
IPython: 6.4.0
sphinx: 1.7.5
patsy: 0.5.0
dateutil: 2.7.3
pytz: 2018.4
blosc: None
bottleneck: 1.2.1
tables: 3.4.4
numexpr: 2.6.5
feather: None
matplotlib: 2.2.2
openpyxl: 2.5.4
xlrd: 1.1.0
xlwt: 1.2.0
xlsxwriter: 1.0.5
lxml: 4.2.2
bs4: 4.6.0
html5lib: 1.0.1
sqlalchemy: 1.2.8
pymysql: 0.8.1
psycopg2: None
jinja2: 2.10
s3fs: 0.1.5
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: 0.1.0

</details>
