BUG: groupby with sort=False not respected for categorical data
- [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.

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

---

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

```python
In [1]: import numpy as np 
   ...: import pandas as pd                                                                                                   

In [2]: months = ['Jan', 'Feb', 'Mar', 'Apr'] 
   ...: colors = ['Red', 'Green', 'Blue'] 
   ...: directions = ['Up', 'Down']                                                                                           

In [3]: df = pd.DataFrame( 
   ...:     np.random.random(24), 
   ...:     index=pd.MultiIndex.from_product([months, pd.CategoricalIndex(colors), directions], names=['month', 'color', 'direction']), 
   ...:     columns=['value'] 
   ...: )                                                                                                                     

In [4]: df.groupby(['month', 'color'], sort=False).sum()                                                                      
Out[4]: 
                value
month color          
Apr   Blue   1.369042
      Green  1.430864
      Red    0.346581
Feb   Blue   1.068234
      Green  0.888100
      Red    0.708154
Jan   Blue   1.119714
      Green  0.731628
      Red    0.624529
Mar   Blue   0.605137
      Green  1.400212
      Red    0.871417
```

#### Problem description

When grouping two columns with categorical data and using `sort=False`, the groups are sorted anyway. If the index was not Categorical, then the output is not sorted as expected.

#### Expected Output

I was hoping to get this output
```python
Jan   Red    0.624529
      Green  0.731628
      Blue   1.119714
Feb   Red    0.708154
      Green  0.888100
      Blue   1.068234
Mar   Red    0.871417
      Green  1.400212
      Blue   0.605137
Apr   Red    0.346581
      Green  1.430864
      Blue   1.369042
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : f00ed8f47020034e752baf0250483053340971b0
python           : 3.7.11.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.0-77-generic
Version          : #86-Ubuntu SMP Thu Jun 17 02:35:03 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : en_GB.UTF-8

pandas           : 1.3.0
numpy            : 1.17.5
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 21.1.2
setuptools       : 41.2.0
Cython           : 0.29.21
pytest           : 6.1.1
hypothesis       : None
sphinx           : 3.3.1
blosc            : 1.8.3
feather          : None
xlsxwriter       : None
lxml.etree       : 4.4.3
html5lib         : None
pymysql          : None
psycopg2         : 2.7.7 (dt dec pq3 ext lo64)
jinja2           : 2.10.3
IPython          : 7.14.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : 0.4.1
gcsfs            : None
matplotlib       : 3.1.3
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 2.0.1
xlwt             : None
numba            : 0.51.2


</details>
