Bug 29764 groupby loses index name sometimes
- [x] closes #29764
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry´

Some group by functions lost the column index name. For the functions running into ```_get_cythonized_result``` in groupby.py, the index name was just ignored when defining the column names. So the following functions ```_wrap_aggregated_output``` and ```_wrap_transformed_output``` in the class DataFrameGroupBy had not acces to this information, because it was already lost there. I collected the information beforehand and defined the Index Name accordingly.

We could refactor both methods a bit at a later stage, because at it is right now (and was before) the first few lines are duplicates.