BUG: Pass index data correctly in groupby.transform/agg w/ engine=numba
- [x] closes #43133
- [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

@mroeschke would be ok with backing this to 1.3.x if ok with that (move release note). Sure moved to 1.3.3 thanks @mroeschke  @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.