REGR: fix case all-NaN/numeric object column in groupby 
Fixes #39329

This basically reverts #35841, although the code itself has changed quite a bit since then, so it's simpler here as the original PR² (not dealing with blocks anymore)

The original code comment that was removed in #35841 *"We've split an object block!"* was correct, as it can actually happen in those example cases. 