BUG: DataFrame.groupby(., dropna=True, axis=0) incorrectly throws ShapeError
- [x] closes #35612
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This PR makes a few more changes to propagate `dropna` correctly for sliced groupby objects. 

It depends on #35444 for the changes to `pandas/core/groupby/generic.py`. I put them in by hand for now so that the tests pass but there should be no diff once #35444 is merged.