Grouping by all columns of an empty DataFrame should produce MultiIndex, but doesn't
Greetings!

This comes up in [cuDF](https://github.com/rapidsai/cudf) in our tests that check for compatibility with Pandas:

```
In [21]: a = pd.DataFrame({'a': [], 'b': [], 'c': []})

In [22]: a.groupby(['a', 'b']).sum().index
Out[22]: MultiIndex([], names=['a', 'b'])

In [23]: a.groupby(['a', 'b', 'c']).sum().index
Out[23]: Index([], dtype='object')
```

Would it be more consistent for grouping by multiple columns to always result in a MultiIndex?

Edit: Checked with Pandas 1.0.1 as well as 0.25.3 -- same behaviour. 