BUG: Groupby.transform with tshift giving incorrect result
Came across this inconsistency whilst trying to write a test for `tshift` in #32069 

```
>>> import pandas as pd
>>> df = pd.DataFrame({'A':[121, 121, 121, 121, 231, 231, 676], 'B':[1.0, 2.0, 2.0, 3.0, 3.0, 3.0, 4.0], "C": pd.date_range("2013-11-03", periods=7)})

>>> df
     A    B          C
0  121  1.0 2013-11-03
1  121  2.0 2013-11-04
2  121  2.0 2013-11-05
3  121  3.0 2013-11-06
4  231  3.0 2013-11-07
5  231  3.0 2013-11-08
6  676  4.0 2013-11-09

>>> g = df.set_index("C").groupby("A")

>>> g.transform(lambda x: x.tshift(2, "D"))
              B
C              
2013-11-03  1.0
2013-11-04  2.0
2013-11-05  2.0
2013-11-06  3.0
2013-11-07  3.0
2013-11-08  3.0
2013-11-09  4.0

>>> g.transform("tshift", *[2, "D"])
              B
C              
2013-11-03  1.0
2013-11-04  2.0
2013-11-05  2.0
2013-11-06  3.0
2013-11-07  3.0
2013-11-08  3.0
2013-11-09  4.0

```
#### Problem description
Using `tshift` in `groupby.transform` seems to drop `A` from the index. Also, this seems to be leaving the dates unshifted as seen in the results above.

#### Expected Output

Would expect something like below which is achieved correctly using `groupby.tshift `

```
>>> g.tshift(2, "D")

                  B
A   C              
121 2013-11-05  1.0
    2013-11-06  2.0
    2013-11-07  2.0
    2013-11-08  3.0
231 2013-11-09  3.0
    2013-11-10  3.0
676 2013-11-11  4.0
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : 94befe6bc2522d9441b95e55602dbe746f63c1bc
python           : 3.7.6.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.0.0
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : en_GB.UTF-8

pandas           : 0.25.0.dev0+3348.g94befe6.dirty
numpy            : 1.17.3
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 19.3.1
setuptools       : 42.0.2.post20191201
Cython           : 0.29.14
pytest           : 5.3.2
hypothesis       : 4.56.3
sphinx           : 2.3.1
blosc            : None
feather          : None
xlsxwriter       : 1.2.7
lxml.etree       : 4.4.2
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.10.3
IPython          : 7.10.2
pandas_datareader: None
bs4              : 4.8.2
bottleneck       : 1.3.1
fastparquet      : 0.3.2
gcsfs            : None
lxml.etree       : 4.4.2
matplotlib       : 3.1.2
numexpr          : 2.7.0
odfpy            : None
openpyxl         : 3.0.1
pandas_gbq       : None
pyarrow          : 0.15.1
pytables         : None
pytest           : 5.3.2
pyxlsb           : None
s3fs             : 0.4.0
scipy            : 1.4.1
sqlalchemy       : 1.3.12
tables           : 3.6.1
tabulate         : None
xarray           : 0.14.1
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.2.7
numba            : 0.46.0

</details>