BUG: DataFrameGroupBy.__getitem__ fails to propagate dropna
- [x] closes #35014 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
A note - in addition to the missing values handling, his PR also fixes a version of #14466 in the `SeriesGroupBy` version of transform

I solved it similarly to #12559 Hello @arw2019! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-08-07 19:26:30 UTC Ready to go modulo any comments @TomAugspurger what do you think? This aims to resolve the `SeriesGroupBy.__getitem__` bug you pointed out a few weeks ago  I think https://github.com/pandas-dev/pandas/pull/35444 is a more general soln here.  @jreback: Unfortunately my PR is not sufficient here. The root issue lies with the use of a dictionary for `self.indices` within the `_GroupBy` class. Trying to make a key be `None` (or `np.nan` or `pd.NaT`) causes issues. AFAICT, dropna is never used once the GroupBy object is created.

I think this isn't an issue with propagating `dropna`, but rather with the SeriesGroupBy transform function itself. Somehow DataFrameGroupBy avoids these issues, although I need to spend more time looking through the code to understand how. you are making a lot of changes here, pls try to simplify. > you are making a lot of changes here, pls try to simplify.

@jreback Ok!

I redid the solution by copying the logic in `DataFrameGroupBy._transform_general` which is very similar & avoids this problem (thanks @rhshadrach for the suggestion)
 thanks @arw2019  thanks @jreback for reviewing