TST: Check index when grouping all columns of empty DF (#32464)
- [x] closes #32464
- [x] [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
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] 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. _(does not apply)_

Giving @rhshadrach attribution for the code as the test is basically his suggestion over #44046.

Let me know if any changes are needed. Thanks! Rebased with the latest `main`, as it looks that the build has been fixed now. Thanks @YagoGG 