BUG: groupby with sort=False creates buggy MultiIndex 
- [ ] closes #32259 
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

EDIT
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probably better/less invasive to make sure .groupby(, sort=False) returns an object where the index has codes which reflect the ordering