TST: Groupby first/last/nth nan column test
- [X] xref https://github.com/pandas-dev/pandas/issues/33591#issuecomment-615365647
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The first two asserts (`first()`/`last()`) fail on `1.0.3`, as expected.
> The first two asserts (`first()`/`last()`) fail on `1.0.3`, as expected

this was changed in #32949

be86b6583f97a49ded14bdd4290ccf721bf1f645 is the first new commit
commit be86b6583f97a49ded14bdd4290ccf721bf1f645
Author: jbrockmendel <jbrockmendel@gmail.com>
Date:   Fri Apr 10 09:18:06 2020 -0700

    CLN: remove unnecessary Series._convert calls (#32949)
 > Thanks @jamescobonkerr for the PR. does this test follow the same code path as the code sample in the issue OP?, see [#33591 (comment)](https://github.com/pandas-dev/pandas/issues/33591#issuecomment-616164785)

Ah, you're right — pardon the oversight.



> > The first two asserts (`first()`/`last()`) fail on `1.0.3`, as expected
> 
> this was changed in #32949
> 
> [be86b65](https://github.com/pandas-dev/pandas/commit/be86b6583f97a49ded14bdd4290ccf721bf1f645) is the first new commit
> commit [be86b65](https://github.com/pandas-dev/pandas/commit/be86b6583f97a49ded14bdd4290ccf721bf1f645)
> Author: jbrockmendel [jbrockmendel@gmail.com](mailto:jbrockmendel@gmail.com)
> Date: Fri Apr 10 09:18:06 2020 -0700
> 
> ```
> CLN: remove unnecessary Series._convert calls (#32949)
> ```

Removing the `_convert` call from `core.groupby.generic.DataFrameGroupBy._wrap_aggregated_output` seems to fix the reported issue, however, breaks a range of other tests. I don't have a great understanding of how `GroupBy` works. I'll close this PR. @jamescobonkerr Thanks for working on this.

The test you have added here does have value since it is testing a change in behaviour against regression.

As you pointed out this test fails on 1.0.3 and is fixed on master. AFAICT this is working since #32949

I'll reopen this PR, but once merged will not close #33591 (rather than open a new issue at this point, i'll reference you code sample in #33591) thanks @jamescobonkerr always happy to take these