(wip) BUG: groupby with sort=False create buggy multiindex
- [ ] closes #32259 
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Still messy, just running this through the test suite as my laptop's not great (but please let me know if such behaviour is unwelcome and I won't do it again)

pandas/tests/groupby/test_timegrouper.py
pandas/tests/groupby/test_grouping.py
pandas/tests/groupby/test_categorical.py
pandas/tests/groupby/test_groupby.py
pandas/tests/test_multilevel.py
This is a tough one, I'll come back to it later