TST: Groupby/transform with grouped NaN (#9941)
 - [x] closes #9941
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``

The original issue works on 0.19.1 as expected (resulting value is `nan`). Doesn't look like this was fixed in a PR for 0.19.2 or 0.20
## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14907?src=pr) is 84.56% (diff: 100%)
> Merging [#14907](https://codecov.io/gh/pandas-dev/pandas/pull/14907?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will decrease coverage by **<.01%**

```diff
@@             master     #14907   diff @@
==========================================
  Files           144        144          
  Lines         51058      51058          
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
- Hits          43177      43176     -1   
- Misses         7881       7882     +1   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [e503d40...30c1c70](https://codecov.io/gh/pandas-dev/pandas/compare/e503d40ace473556990e5453ed5b4c9aa96e24ff...30c1c70d5e1e266db7e8a125c1ac4d3cd89d6da8?src=pr) thanks!