`DataFrame.groupby.apply` keeps group-by column in values
#### Code Sample, a copy-pastable example if possible

```python
>>> import pandas as pd
>>> df = pd.DataFrame({'d': [1.0, 1.0, 1.0, 2.0, 2.0, 2.0], 'v': [1.0, 2.0, 3.0, 4.0, 5.0, 6.0]})
>>> df.groupby('d').sum()                                                                                   
        v
d        
1.0   6.0
2.0  15.0

>>> df.groupby('d').apply(sum)                                                                              
       d     v
d             
1.0  3.0   6.0
2.0  6.0  15.0
```
#### Problem description

[this should explain **why** the current behaviour is a problem and why the expected output is a better solution.]

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#### Expected Output

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

<details>

INSTALLED VERSIONS
------------------
commit           : e6ead5587fce2df844bbe568b63a150c47954fdd
python           : 3.7.6.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-88-generic
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : en_GB.UTF-8

pandas           : 0.26.0.dev0+2391.ge6ead5587.dirty
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 45.1.0.post20200119
Cython           : 0.29.14
pytest           : 5.3.5
hypothesis       : 5.5.1
sphinx           : 2.3.1
blosc            : None
feather          : None
xlsxwriter       : 1.2.7
lxml.etree       : 4.5.0
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.1
IPython          : 7.12.0
pandas_datareader: None
bs4              : 4.8.2
bottleneck       : 1.3.1
fastparquet      : 0.3.3
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.1.3
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.1
pandas_gbq       : None
pyarrow          : 0.16.0
pytables         : None
pytest           : 5.3.5
pyxlsb           : None
s3fs             : 0.4.0
scipy            : 1.4.1
sqlalchemy       : 1.3.13
tables           : 3.6.1
tabulate         : 0.8.6
xarray           : 0.15.0
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.2.7
numba            : 0.48.0

</details>
