Fixes .nth() with groupby multiple columns

closes #8979

Let me know if this makes sense

Problem mentioned in issue 8979 too
Why do you want to use _ensure_index? That doesn't seem to set names properly but the names are passed if I just use MultiIndex.from_arrays (because it's a list of Series self.obj[name][is_nth]). I did simplify it tho, turns out MultiIndex.from_arrays returns Index if it's just one column