REF: Check before calling DTA._from_sequence instead of catching
Comment in core.apply is unrelated, just doesnt merit its own PR.
> you're right that we can also get here from _python_agg_general. But in the case of user defined functions that may not be dtype-preserving, we shouldn't be doing this casting at all, regardless of whether we pre-check vs catch

Not fully sure if it should try this casting or not, but right now it does reach here, so your change has implications for that.

Consider this example:

```
In [5]: df = pd.DataFrame({'a': [0, 0, 1, 1], "b": pd.date_range("2012-01-01", periods=4, tz='UTC')}) 

In [6]: df.groupby('a')['b'].agg(lambda x: x.iloc[-1] - x.iloc[0])
Out[6]: 
a
0   1 days
1   1 days
Name: b, dtype: timedelta64[ns]
```

That will fail to convert to datetime, raise a TypeError and thus now fail with this branch.

Now, you are right that we maybe shouldn't try to cast (or at least only if the scalars are actual datetime objects), because if you write a function that returns integers, that now incorrectly casts back to datetime64:

```
In [3]: df.groupby('a')['b'].agg(lambda x: x.iloc[0].year)  
Out[3]: 
a
0   1970-01-01 00:00:00.000002012+00:00
1   1970-01-01 00:00:00.000002012+00:00
Name: b, dtype: datetime64[ns, UTC]
```

However, this case is a regression, as it worked correctly in pandas 0.23 (started to fail in 0.24, probably with the datetime arrays refactor). 
(I seem to remember some discussion about this, it might be a reason that `DatetimeArray._from_sequence` should be more strict to only accept actual scalars of the array's type. But this is a digression here, will see to open a new issue for it )


 About the "need" to cast here, eg this example would otherwise not have tz-aware result I think:

```
In [2]: df.groupby('a')['b'].agg(lambda x: x.iloc[0])                                                                                                                                         
Out[2]: 
a
0   2012-01-01 00:00:00+00:00
1   2012-01-03 00:00:00+00:00
Name: b, dtype: datetime64[ns, UTC]
``` @jorisvandenbossche first I agree that this should be on hold until we sort out the desired when-to-try-casing behavior.

My read of your last two comments suggests that you agree with my previous comment that we should _not_ be re-casting for UDFs? > My read of your last two comments suggests that you agree with my previous comment that we should not be re-casting for UDFs?

I agree with this statement It would also be a regression to not cast (see the example in my last comment above; that would no longer output the correct dtype if there was no cast back to the original type).

So I think we should try *some* casting, but not in such a liberal way as done now (similar to the "soft conversion" in infer_objects, which will not cast integers to datetime64, but will cast datetime objects) @jorisvandenbossche for non-UDFs the behavior in this PR (and master) is correct.  For UDFs you have convinced me that the casting should not be done.

Does this accurate reflect your views? Not really, in my last comment I said: "So I think we should try some casting, but not in such a liberal way as done now."

Now, "trying to cast" is always a box of pandora (but we do that a lot in pandas in all kinds of cases), I am mainly noting that not doing it would give a regression in my example above (https://github.com/pandas-dev/pandas/pull/29589#issuecomment-553875742) Locally, if I disable this casting exclusively for UDFs, both the `df.groupby('a')['b'].agg(lambda x: x.iloc[0])` and `df.groupby('a')['b'].agg(lambda x: x.iloc[0].year)` work correctly.

"So I think we should try some casting, but not in such a liberal way as done now." is vague compared to "do this casting only for non-UDFs".  Can you phrase your preferred approach more specifically? Can you show the result of what you get locally? > Can you show the result of what you get locally?

After adding a `cy=True` kwarg to `_try_cast` and passing `cy=False` in the two `_try_cast` calls within `_python_agg_general` (all in `core.groupby.groupby`) that just disables the casting in question:

```
>>> df = pd.DataFrame({'a': [0, 0, 1, 1], "b": pd.date_range("2012-01-01", periods=4, tz='UTC')})

>>> df.groupby('a')['b'].agg(lambda x: x.iloc[0])
a
0   2012-01-01 00:00:00+00:00
1   2012-01-03 00:00:00+00:00
dtype: datetime64[ns, UTC]

>>> df.groupby('a')['b'].agg(lambda x: x.iloc[0].year)
a
0    2012
1    2012
dtype: int64
```

Does this match the expected/correct output? Not sure what we do differently, what I tried was to just comment out the full block with casting in `_try_cast` (but I might be missing complications of this at other locations):

<details>

```patch
diff --git a/pandas/core/groupby/groupby.py b/pandas/core/groupby/groupby.py
index 280f1e88b..ab347b0bd 100644
--- a/pandas/core/groupby/groupby.py
+++ b/pandas/core/groupby/groupby.py
@@ -788,29 +788,29 @@ b  2""",
         else:
             dtype = obj.dtype
 
-        if not is_scalar(result):
-            if is_datetime64tz_dtype(dtype):
-                # GH 23683
-                # Prior results _may_ have been generated in UTC.
-                # Ensure we localize to UTC first before converting
-                # to the target timezone
-                arr = extract_array(obj)
-                try:
-                    result = arr._from_sequence(result, dtype="datetime64[ns, UTC]")
-                    result = result.astype(dtype)
-                except TypeError:
-                    # _try_cast was called at a point where the result
-                    # was already tz-aware
-                    pass
-            elif is_extension_array_dtype(dtype):
-                # The function can return something of any type, so check
-                # if the type is compatible with the calling EA.
-
-                # return the same type (Series) as our caller
-                cls = dtype.construct_array_type()
-                result = try_cast_to_ea(cls, result, dtype=dtype)
-            elif numeric_only and is_numeric_dtype(dtype) or not numeric_only:
-                result = maybe_downcast_to_dtype(result, dtype)
+        # if not is_scalar(result):
+        #     if is_datetime64tz_dtype(dtype):
+        #         # GH 23683
+        #         # Prior results _may_ have been generated in UTC.
+        #         # Ensure we localize to UTC first before converting
+        #         # to the target timezone
+        #         arr = extract_array(obj)
+        #         try:
+        #             result = arr._from_sequence(result, dtype="datetime64[ns, UTC]")
+        #             result = result.astype(dtype)
+        #         except TypeError:
+        #             # _try_cast was called at a point where the result
+        #             # was already tz-aware
+        #             pass
+        #     elif is_extension_array_dtype(dtype):
+        #         # The function can return something of any type, so check
+        #         # if the type is compatible with the calling EA.
+
+        #         # return the same type (Series) as our caller
+        #         cls = dtype.construct_array_type()
+        #         result = try_cast_to_ea(cls, result, dtype=dtype)
+        #     elif numeric_only and is_numeric_dtype(dtype) or not numeric_only:
+        #         result = maybe_downcast_to_dtype(result, dtype)
 
         return result
```
</details>


and then I get this (notice that the resulting dtype is not tz-aware here, in constrast with your example):
```
In [1]: df = pd.DataFrame({"a": [0, 0, 1, 1], 
   ...:                    "b": pd.date_range("2012-01-01", periods=4, tz='UTC')})

In [2]: df.groupby('a')['b'].agg(lambda x: x.iloc[0])
Out[2]: 
a
0   2012-01-01
1   2012-01-03
Name: b, dtype: datetime64[ns]
``` > Not sure what we do differently, what I tried was to just comment out the full block with casting

I just changed the `if not is_datetime64tz_dtype(result.dtype):` to `if not is_datetime64tz_dtype(result.dtype) and not cy:`

I'm now working on a new branch that should handle the cases you've mentioned correctly. @jorisvandenbossche im working on adding the examples from here into #29641, want to confirm the expected output.  The results I posed [here](https://github.com/pandas-dev/pandas/pull/29589#issuecomment-554037276) did not have a name for the Series; should the name be "b"? Closing in favor of #29641