PERF: Don't sort labels in groupby.ffill/bfill
- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

```
N = 1000000
df = DataFrame(
    {"group": [1] * N + [2] * N, "value": [np.nan, 1.0] * N}
).set_index("group")
df = df.sample(N)

%timeit df.groupby("group").ffill()
gb = df.groupby("group")
gb.ffill()
%timeit gb.ffill()

# main
21.8 ms ± 676 µs per loop (mean ± std. dev. of 7 runs, 10 loops each)
17.5 ms ± 145 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)

# PR
10.3 ms ± 159 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)
5.56 ms ± 74.6 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)
```
Thanks @rhshadrach 