API: update nth to use the _set_selection_from_grouper makes first==nth(0) and last==nth(-1)
closes  #6732

`nth` sets the index appropriately and the same as first/last.

this becomes less like head/tail in that `as_index` determines when you have an index

here's the revised behavior:

```
In [1]: df = DataFrame([[1, np.nan], [1, 4], [5, 6]], columns=['A', 'B'])

In [3]: df
Out[3]: 
   A   B
0  1 NaN
1  1   4
2  5   6

[3 rows x 2 columns]

In [2]: g = df.groupby('A')

In [9]: gni = df.groupby('A',as_index=False)
```

```
In [5]: g.first()
Out[5]: 
   B
A   
1  4
5  6

[2 rows x 1 columns]

# this was a regression from 0.13.1 (in that before this PR, this was returning like ``as_index=False``)
In [6]: g.nth(0)
Out[6]: 
    B
A    
1 NaN
5   6

[2 rows x 1 columns]

In [7]: g.nth(0,dropna='all')
Out[7]: 
   B
A   
1  4
5  6

[2 rows x 1 columns]
```

```
In [10]: gni.nth(0)
Out[10]: 
   A   B
0  1 NaN
2  5   6

[2 rows x 2 columns]

In [11]: gni.nth(0,dropna='all')
Out[11]: 
   A  B
0  1  4
1  5  6

[2 rows x 2 columns]
```
