BUG: SeriesGroupBy.value_counts - index name missing when applied on categorical column
### 

- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the [latest version](https://pandas.pydata.org/docs/whatsnew/index.html) of pandas.

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


### Reproducible Example

```python
import pandas as pd
df = pd.DataFrame({'gender': ['female', 'male', 'female', 'male', 'female', 'male'],
                  'education': ['low', 'medium', 'high', 'low', 'high', 'low'],
                  'country': ['US', 'FR', 'US', 'FR', 'FR', 'US']})
df.dtypes  
gender       object
education    object
country      object
dtype: object

df.groupby('country')['gender'].value_counts()

country  gender
FR       male      2
         female    1
US       female    2
         male      1
Name: gender, dtype: int64

df.groupby('country')['gender'].value_counts().index.names

FrozenList(['country', 'gender'])
```


Now, if using a categorical type on the genre column, the column name is not saved in the index:

```python
df['gender'] = df['gender'].astype('category')
df.dtypes

gender       category
education      object
country        object
dtype: object

df.groupby('country')['gender'].value_counts()

country
FR       male      2
         female    1
US       female    2
         male      1
Name: gender, dtype: int64

df.groupby('country')['gender'].value_counts().index.names

FrozenList(['country', None])
```


### Issue Description

The column name (here **gender**) is dropped when applying `value_counts()` on a column of type `category`.

It might be link with other problems in handling categorical types: #44001 

This was working as of pandas v 1.2.3, and I could reproduce the bug starting with v 1.3.0, still present in v 1.3.4

### Expected Behavior

Column name should be added in the index for uniformity with other types, as in the first example above with object type column.

### Installed Versions

<details>
pd.show_versions() 
INSTALLED VERSIONS
------------------
commit           : 945c9ed766a61c7d2c0a7cbb251b6edebf9cb7d5
python           : 3.9.6.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 21.1.0
Version          : Darwin Kernel Version 21.1.0: Wed Oct 13 17:33:23 PDT 2021; root:xnu-8019.41.5~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.UTF-8

pandas           : 1.3.4
numpy            : 1.21.4
pytz             : 2021.3
dateutil         : 2.8.2
pip              : 21.3.1
setuptools       : 57.0.0
Cython           : None
pytest           : 6.2.4
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.3
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.26.0
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.3
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.7.1
sqlalchemy       : None
tables           : None
tabulate         : 0.8.9
xarray           : 0.19.0
xlrd             : None
xlwt             : None
numba            : None
</details>
