BUG: Attributes are lost when subsetting columns in groupby
- [x] closes #9959
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Avoiding the behavior of Series here, e.g. `df.groupby('a')['b']` as I think that will involve some API changes. Will follow up: ref #35443
@rhshadrach test is failing on Linux py37_np_dev

```
=========================== short test summary info ============================
FAILED pandas/tests/groupby/test_groupby.py::test_subsetting_columns_keeps_attrs[squeeze-True]
=== 1 failed, 70023 passed, 4046 skipped, 1022 xfailed in 541.95s (0:09:01) ====
``` Hello @rhshadrach! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-08-31 20:16:14 UTC Thanks @simonjayhawkins, passing now. does this also close: https://github.com/pandas-dev/pandas/issues/35014 ? > does this also close: #35014 ?

@jreback I ran the OP in 35014 on this branch, the error persists @rhshadrach can you merge master and ping on green. @jreback master has been merged, failures are unrelated > failures are unrelated

restarted 

<details>

```

C:\Miniconda\envs\pandas-dev\lib\site-packages\hypothesis\core.py:637: in execute_once
    self.__flaky(
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

self = <hypothesis.core.StateForActualGivenExecution object at 0x00000234496FE130>
message = 'Hypothesis test_shift_across_dst(offset=<0 * MonthBegins>) produces unreliable results: Falsified on the first call but did not on a subsequent one'

    def __flaky(self, message):
        if len(self.falsifying_examples) <= 1:
>           raise Flaky(message)
E           hypothesis.errors.Flaky: Hypothesis test_shift_across_dst(offset=<0 * MonthBegins>) produces unreliable results: Falsified on the first call but did not on a subsequent one

C:\Miniconda\envs\pandas-dev\lib\site-packages\hypothesis\core.py:847: Flaky
--------------------------------- Hypothesis ----------------------------------
Falsifying example: test_shift_across_dst(
    offset=<0 * MonthBegins>,
)
Unreliable test timings! On an initial run, this test took 884.81ms, which exceeded the deadline of 500.00ms, but on a subsequent run it took 1.18 ms, which did not. If you expect this sort of variability in your test timings, consider turning deadlines off for this test by setting deadline=None.

You can reproduce this example by temporarily adding @reproduce_failure('5.24.3', b'AAAAAAA=') as a decorator on your test case

```
</details>


 wait, what happend to the tests? @arw2019 @jreback: I added all attributes to the `ndim=1` case except `as_index` and `axis` as these might be considered an API change. Failures are unrelated. also if you can add a test that replicates the original issue (unless your new ones cover) @jreback test is now xfail instead of skip; original issue is covered by the added test when `attr="group_keys"`. Failure is unrelated (due to pyarrow). @jreback should have mentioned - if the parameters are labeled xfail, then we wouldn't be testing their behavior for `DataFrameGroupBy` (which I think we want to). So I've left it as an if statement after the frame case and before the series. Does that work? I've updated the tests with @arw2019's suggestion. To my surprise, the line

    df.groupby('a', as_index=False)['b']

results in a `DataFrameGroupBy` rather than a `SeriesGroupBy`, and thus would successfully pass the test. I'm still of the opinion that this should instead raise (ref: #35443), but perhaps others disagree. I've marked it as xfail with strict=False, but perhaps it shouldn't be marked xfail at all? Any suggestions here are much appreciated.

Update: After rethinking, this test shouldn't be xfailed. thanks @rhshadrach 

good approach about separating something potentially controversial to another issue.