BUG: Empty result in df.groupby.agg on multiple keys has no columns
Comparing:

```
df = DataFrame(columns=["A", "B", "C"])
print(df.groupby(["A"]).sum())
print(df.groupby(["A", "B"]).sum())
```

gives:

```
Empty DataFrame
Columns: [B, C]
Index: []
Empty DataFrame
Columns: []
Index: []
```

This is due to taking two different paths through agg - when `nkeys > 1`, using `_python_agg_general` and otherwise using `GroupByApply.agg`.