BUG: Copy not working as expected within DataFrameGroupBy.apply function
- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the latest version of pandas.
  - present in v1.2.3

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```python
import pandas as pd
import numpy as np

df = pd.DataFrame({
    'A' : np.random.normal(10, 12, size=(100, ))
})

# function to cyclically group with a frequency of 4
def grouper(index):
    return index % 4

store = {}

# debuging apply function to store the dataframe chunks created by the grouper
# also contains print statements to identify the error
def addstore(df):
    key = df.index.min()
    
    if len(store.keys()) > 0:
        firstkey = list(store.keys())[0]
        print(f'{key:19d} {firstkey:19d} {store[firstkey].index.min():19d} {firstkey == store[firstkey].index.min()!s:6s}')
    else:
        print('New key', key)
        print(f'{"New Key":19s} {"First Key":19s} {"Stored Index":19s} {"Valid":19s}')
        
    # attempting to copy dataframe
    store[key] = pd.DataFrame(df).copy(deep=True)

df.groupby(grouper).apply(addstore)
```

A more detailed example with integer and datetime indices can be found here: https://gist.github.com/dakenblack/41595c831def6d06e289f87d015aca5e

#### Problem description

Between calls of the apply function (getstore) the copied dataframe changes. If a copy is created, the copy should be independant of the original dataframe.

#### Found Output
```
New key 0
New Key             First Key           Stored Index        Valid              
                  1                   0                   1 False 
                  2                   0                   2 False 
                  3                   0                   3 False 
```

#### Expected Output

```
New key 0
New Key             First Key           Stored Index        Valid              
                  1                   0                   0 True 
                  2                   0                   0 True 
                  3                   0                   0 True 
```

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : f2c8480af2f25efdbd803218b9d87980f416563e
python           : 3.7.10.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.21343
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 10, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.2.3
numpy            : 1.18.5
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 49.2.0.post20200714
Cython           : 0.29.21
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.3.3
lxml.etree       : 4.5.2
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.3
IPython          : 7.20.0
pandas_datareader: None
bs4              : 4.8.0
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.2.2
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : 3.0.0
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : 1.3.13
tables           : None
tabulate         : 0.8.9
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : None

</details>
