BUG: GroupBy.ffill()/bfill() do not return NaN values for NaN groups
- [x] closes #34725
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

See #34725 for a good description of the problem. 

This fixes the issue in the tidiest way I could find. 

One test is added that covers all relevant cases I could think of. The comments in the test can be removed, they are just there to make it easier for the reviewer to follow as the test is a bit complicated. 

This also fixes the copy-pastable example from the #34725.