BUG: Series groupby with by as Series raises `FutureWarning`
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

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

---

I ran into this when testing dask against pandas nightly builds. https://github.com/dask/dask/issues/7710

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

```python
import pandas as pd
df = pd.DataFrame(
    {"a": [1, 2, 6, 4, 4, 6, 4, 3, 7], "b": [4, 2, 7, 3, 3, 1, 1, 1, 2]},
    index=[0, 1, 3, 5, 6, 8, 9, 9, 9],
)
df.a.groupby(df.b).sum()

```

#### Problem description
According to the series groupby docstring, I should be able to groupby series objects, but I get a `FutureWarning`

```python-traceback
/home/julia/conda/envs/dask-upstream/lib/python3.8/site-packages/pandas/core/indexes/base.py:3372: FutureWarning: Promotion of numbers and bools to strings is deprecated. In the future, code such as `np.concatenate((['string'], [0]))` will raise an error, while `np.asarray(['string', 0])` will return an array with `dtype=object`.  To avoid the warning while retaining a string result use `dtype='U'` (or 'S').  To get an array of Python objects use `dtype=object`. (Warning added in NumPy 1.21)
  return self._engine.get_loc(casted_key)
```

#### Expected Output
When I call `.tolist()` on the series before passing it as `by`  I get the expected result:
```python
df.a.groupby(df.b.tolist()).sum()
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : e7c1ef71d80797cab0bffda8c47948261cffc139
python           : 3.8.10.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.0-72-generic
Version          : #80~18.04.1-Ubuntu SMP Mon Apr 12 23:26:25 UTC 2021
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.3.0.dev0+1738.ge7c1ef71d8
numpy            : 1.22.0.dev0+4.gb283e1632
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.1.2
setuptools       : 46.1.3
Cython           : None
pytest           : 6.2.4
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.3
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.23.1
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : None
fsspec           : 2021.05.0+16.g07df543
fastparquet      : 0.6.3
gcsfs            : None
matplotlib       : 3.4.2
numexpr          : 2.7.3
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 4.0.0
pyxlsb           : None
s3fs             : 2021.05.0
scipy            : 1.6.3
sqlalchemy       : 1.3.23
tables           : 3.6.1
tabulate         : None
xarray           : 0.18.2
xlrd             : None
xlwt             : None
numba            : 0.53.1


</details>
