BUG: GroupBy().fillna() performance regression
- [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.

---

```python
import pandas as pd
import numpy as np

N = 2000
df = pd.DataFrame({"A": [1] * N, "B": [np.nan, 1.0] * (N // 2)})
df = df.sort_values("A").set_index("A")

df["B"] = df.groupby("A")["B"].fillna(method="ffill")
```

#### Problem description
The groupby + fillna gets extremely slow increasing the N.
This is a regression from 1.0.5->1.1.0.

Note: if I remove the `.set_index("A")` it's fast again.

#### Expected Output
Same output, just faster.

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

<details>


INSTALLED VERSIONS
------------------
commit           : d9fff2792bf16178d4e450fe7384244e50635733
python           : 3.7.8.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.4.110-1.el7.elrepo.x86_64
Version          : #1 SMP Fri Jan 5 11:35:48 EST 2018
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.0
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 49.6.0.post20200917
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
