BUG: iterating on a subset of columns in a GroupBy object (#44821)
Fixes issue #44821.

When trying to iterate on a subset of columns in a GroupBy object,
it returned all columns, instead of the selected subset.

GroupBy.__iter__ used self.obj instead of self._selected_obj (see
PR #6570).

- [x] closes #44821
- [x] 1 test added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry

Hi.

Only one test is broken, which I mentioned here: https://github.com/pandas-dev/pandas/issues/44821#issuecomment-997037279

As mentioned there, I'm not sure how to continue, as users may rely on current behavior.

By the way, should I could continue the discussion in this PR?
 Well, I decided to fix that test. While this PR changes `GroupBy.__iter__`, it didn't actually broke any test that tested its behavior. The test that was previously failing concerned the behaviour of `GroupBy.rolling`, and the fix was in the "manual computation" to compare against.

So, although this PR might break somebody's code, this `GroupBy` behavior wasn't "promised" anywhere, and it could have been changed as part of #6570. cc @rhshadrach for comments thanks @maurosilber 