BUG: Groupby lost index, when one of the agg keys had no function all…
…ocated

- [x] closes #32580
- [x] closes #33545 (is a duplicate of 32580)
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The issue was the concatenation with an empty DataFrame and the result of the min function. This resulted in the lost index. 

I changed the input for the concatenation, so that only non empty DataFrames would be concatenated. We have to catch the case, that all DataFrames are empty, because this would result in an error.
I am not sure I agree with supporting this case. what does an empty list in an aggregation even mean? > 
> 
> I am not sure I agree with supporting this case. what does an empty list in an aggregation even mean?

Should the calculation fail as a whole in this case?
Alternatively, we could ignore the empty list as a whole in the aggregate function will look at this again - might be ok with your soln  can you merge master and will have a look @jreback merged master kk ping on green. @jreback green, can be merged thanks @phofl 