BUG: `groupby` on categorical columns creates unexisting combinations
### 

- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the [latest version](https://pandas.pydata.org/docs/whatsnew/index.html) of pandas.

- [x] I have confirmed this bug exists on the master branch of pandas.


### Reproducible Example

```python
import pandas as pd
df = pd.DataFrame(
    {
        "col1": [1, 1, 2, 2, 3, 3],
        "col2": ["a", "a", "b", "b", "c", "c"],
        "col3": [8, 8, 8, 8, 8, 8],
    }
)
df.col1 = df.col1.astype("category")
df.groupby(["col1", "col2"]).col3.first()
```

Output:
```
col1	col2	col3
1	a	8.0
1	b	NaN
1	c	NaN
2	a	NaN
2	b	8.0
2	c	NaN
3	a	NaN
3	b	NaN
3	c	8.0
```



### Issue Description

Combinations that don't exist in the original dataframe are created after the `groupby`, for instance: `col1=1 and col2='b'`.

### Expected Behavior

```python
import pandas as pd
df = pd.DataFrame(
    {
        "col1": [1, 1, 2, 2, 3, 3],
        "col2": ["a", "a", "b", "b", "c", "c"],
        "col3": [8, 8, 8, 8, 8, 8],
    }
)
df.groupby(["col1", "col2"]).col3.first()
```

Output when `col1` isn't a category:
```
col1	col2	col3
1	a	8
2	b	8
3	c	8
```

### Installed Versions

<details>


INSTALLED VERSIONS
------------------
commit           : 5f648bf1706dd75a9ca0d29f26eadfbb595fe52b
python           : 3.9.6.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.4.0-19041-Microsoft
Version          : #1151-Microsoft Thu Jul 22 21:05:00 PST 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : C.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.3.2
numpy            : 1.21.2
pytz             : 2021.1
dateutil         : 2.8.2
pip              : 21.2.4
setuptools       : 56.0.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.27.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : 2021.08.1
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.3
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.7.1
sqlalchemy       : 1.4.23
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None


</details>
