BUG: various groupby ewm times issues
- [x] closes #40951
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

cc @mroeschke  Thanks for your comments, I've incorporated them into the PR. Please have a look when you get a chance.

From what I can tell the failing checks seem to be due to test_empty_multi in test_reductions.py. I saw another recent PR with the same issue (https://github.com/pandas-dev/pandas/actions/runs/751397894). Is there a way to re-run the checks without pushing a commit? A few small whatsnew comments otherwise LGTM (the follow up commit should hopefully clear the CI) @jreback: I have incorporated your latest comments. CI is green. Thanks @stevenschaerer nice patch!