FIX use selected_obj rather the obj throughout groupby

wip for #5264. Changes lots of `self.obj` to `self._selected_obj`.

Gotta add some tests and fix one (?) error, which I think is to previous jumping with selection, this may dry up some code. But does fix some from there.

Should vbench before merging anything.

cc @jreback @TomAugspurger