BUG: SeriesGroupBy.value_counts - index name missing in categorical columns
- [X] closes  #44324
- [X] tests added / passed
- [X] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [X] whatsnew entry

Thanks @NumberPiOso 