`concat` without `sort` in groupby.py code raises FutureWarning
#### Problem description

There are several calls to `concat` in `groupby.py` that do not pass the `sort` argument. This raises FutureWarning when the function is exectuted. For example:

```
pandas/core/groupby/groupby.py:1105: FutureWarning: Sorting because non-concatenation axis is not aligned. A future version 
of pandas will change to not sort by default.

To accept the future behavior, pass 'sort=False'.

To retain the current behavior and silence the warning, pass 'sort=True'.

  result = concat(values, axis=self.axis)
```

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

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.6.8.final.0
python-bits: 64
OS: Darwin
OS-release: 17.7.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.23.4
pytest: None
pip: 18.1
setuptools: 40.6.3
Cython: None
numpy: 1.14.2
scipy: 1.1.0
pyarrow: None
xarray: None
IPython: 6.5.0
sphinx: 1.8.2
patsy: 0.5.1
dateutil: 2.7.5
pytz: 2018.9
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.1.2
openpyxl: 2.5.12
xlrd: 1.2.0
xlwt: 1.2.0
xlsxwriter: None
lxml: None
bs4: 4.7.1
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

</details>
