BUG: GroupBy.__iter__ doesn't work for dict initialization
- [x] I have checked that this issue has not already been reported.
- [x] I have confirmed this bug exists on the latest version 1.3.1 of pandas.
- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```python
import pandas as pd
frame = pd.DataFrame([[1, 2], [3, 4]])
d = dict(frame.groupby(level=0))
```
Raised error:
```python
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
TypeError: attribute of type 'NoneType' is not callable
```

#### Problem description

Based on the documentation of [Python `dict`](https://docs.python.org/3/library/stdtypes.html#dict) & [`GroupBy.__iter__`](https://pandas.pydata.org/docs/reference/api/pandas.core.groupby.GroupBy.__iter__.html#pandas.core.groupby.GroupBy.__iter__), the two should work together. The above code should behave identically to the working alternative
```python
d = {}
for k, v in frame.groupby(level=0):
    d[k] = v
```

#### Expected Output

The code sample shouldn't raise an error, and the result should be
```python
>>> d[0]
   0  1
0  1  2
>>> d[1]
   0  1
1  3  4
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : c7f7443c1bad8262358114d5e88cd9c8a308e8aa
python           : 3.8.11.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.13.8-1-MANJARO
Version          : #1 SMP PREEMPT Thu Aug 5 09:47:52 UTC 2021
machine          : x86_64
processor        : 
byteorder        : little
LC_ALL           : None
LANG             : C
LOCALE           : None.None

pandas           : 1.3.1
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.2.3
setuptools       : 57.0.0
Cython           : 0.29.23
pytest           : 6.2.4
hypothesis       : None
sphinx           : 4.0.3
blosc            : None
feather          : None
xlsxwriter       : 1.4.3
lxml.etree       : None
html5lib         : 1.1
pymysql          : None
psycopg2         : 2.9.1 (dt dec pq3 ext lo64)
jinja2           : 3.0.1
IPython          : 7.23.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.4.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 4.0.1
pyxlsb           : None
s3fs             : None
scipy            : 1.7.0
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None


</details>
