transform() drops groupby columns if not in index or if not numeric
unlike when I use .aggregate('mean'), I lose the groupedby columns and any nonnumeric columns when using transform

``` python
>>> d = {'a':['a', 'a', 'c', 'c'], 'b':['z','z','z','y'], 'dat':[4.2, 2.4, 3.5, 5.3], 'dat2':[1.3,2.6,3.4,4.1]}
>>> df = pd.DataFrame(d)
>>> zscore = lambda x: (x - x.mean()) / x.std()
>>> df.groupby('a').transform(zscore)
        dat      dat2
0  0.707107 -0.707107
1 -0.707107  0.707107
2 -0.707107 -0.707107
3  0.707107  0.707107
```

If I add 'a' to the index, and then transform, I still lose column b 

``` python
>>> df = df.set_index('a')
>>> df.groupby(level='a').transform(zscore)
        dat      dat2 
a                     
a  0.707107 -0.707107 
a -0.707107  0.707107 
c -0.707107 -0.707107 
c  0.707107  0.707107 
```

The only way to keep non-numeric information columns is to add them all to the index, regardless of whether I need to group on them or not

``` python
>>> df = df.set_index(['a', 'b'])
>>> df.groupby(level='a').transform(zscore)
          dat      dat2 
a b                     
c z  0.993399 -0.475293 
  z  0.198680 -0.095059 
  z  0.198680  1.425880 
  y -1.390759 -0.855528 
```
#### Expected Output

I would expect the columns that I grouped on to remain, like they do when using aggregate('mean') for example.

``` python
   a    b        dat      dat2
0  a    z    0.707107 -0.707107
1  a    z    -0.707107  0.707107
2  c    z    -0.707107 -0.707107
3  c    y    0.707107  0.707107
```
#### output of `pd.show_versions()`

```
INSTALLED VERSIONS                                                               
------------------                                                               
commit: None                                                                     
python: 2.7.11.final.0                                                           
python-bits: 64                                                                  
OS: Windows                                                                      
OS-release: 7                                                                    
machine: AMD64                                                                   
processor: Intel64 Family 6 Model 70 Stepping 1, GenuineIntel                    
byteorder: little                                                                
LC_ALL: None                                                                     
LANG: None                                                                       

pandas: 0.17.1                                                                   
nose: 1.3.7                                                                      
pip: 8.0.2                                                                       
setuptools: 18.5                                                                 
Cython: 0.23.4                                                                   
numpy: 1.10.1                                                                    
scipy: 0.16.0                                                                    
statsmodels: 0.6.1                                                               
IPython: 4.0.1                                                                   
sphinx: 1.3.1                                                                    
patsy: 0.4.0                                                                     
dateutil: 2.4.2                                                                  
pytz: 2015.7                                                                     
blosc: None                                                                      
bottleneck: 1.0.0                                                                
tables: 3.2.2                                                                    
numexpr: 2.4.4                                                                   
matplotlib: 1.5.0                                                                
openpyxl: 2.2.6                                                                  
xlrd: 0.9.4                                                                      
xlwt: 1.0.0                                                                      
xlsxwriter: 0.7.7                                                                
lxml: 3.4.4                                                                      
bs4: 4.4.1                                                                       
html5lib: None                                                                   
httplib2: None                                                                   
apiclient: None                                                                  
sqlalchemy: 1.0.9                                                                
pymysql: 0.7.1.None                                                              
psycopg2: None                                                                   
Jinja2: None                                                                     
```
