Bug: groupby with sort=False creates buggy MultiIndex
```python
d = pd.to_datetime(['2020-11-02', '2019-01-02', '2020-01-02', '2020-02-04', '2020-11-03', '2019-11-03', '2019-11-13', '2019-11-13'])
a = np.arange(len(d))
b = np.random.rand(len(d))
df = pd.DataFrame({'d': d, 'a': a, 'b': b})
t = df.groupby(['d', 'a'], sort=False).mean()
```

The index of `t` is certainly not sorted, but `t.index.is_lexsorted()` returns True.


Another more subtle example is 
```python
d = [3,4,10,0,1,2,5,3]
a = np.arange(len(d))
b = np.random.rand(len(d))
df = pd.DataFrame({'d': d, 'a': a, 'b': b})
t = df.groupby(['d', 'a'], sort=False).mean()
```

This time the lexsort flag is correct. However, calling sortlevel will not sort the new MultiIndex correctly, that is, `t.index.sortlevel(['d', 'a'])[0]` returns

```
MultiIndex([( 3, 0),
            ( 3, 7),
            ( 4, 1),
            (10, 2),
            ( 0, 3),
            ( 1, 4),
            ( 2, 5),
            ( 5, 6)],
           names=['d', 'a'])
```

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

<details>

[paste the output of ``pd.show_versions()`` here below this line]

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-72-generic
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.1
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 45.2.0.post20200210
Cython           : 0.29.15
pytest           : 5.3.5
hypothesis       : 5.5.4
sphinx           : 2.4.0
blosc            : None
feather          : None
xlsxwriter       : 1.2.7
lxml.etree       : 4.5.0
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.1
IPython          : 7.12.0
pandas_datareader: 0.8.1
bs4              : 4.8.2
bottleneck       : 1.3.2
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.1.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : 0.13.0
pytables         : None
pytest           : 5.3.5
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.3.13
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.2.7
numba            : 0.45.1

</details>
