use _set_index in _wrap_aggregated_output

Author: arw2019

pandas/core/groupby/generic.py

@@ -1645,8 +1645,8 @@ def _wrap_aggregated_output(
         DataFrame
         """
         indexed_output = {key.position: val for key, val in output.items()}
-        agg_axis = self._obj_with_exclusions._get_axis(1 - self.axis)
-        columns = Index([key.label for key in output], name=agg_axis._get_names())
+        columns = Index([key.label for key in output])
+        columns._set_names(self._obj_with_exclusions._get_axis(1 - self.axis).names)
 
         result = self.obj._constructor(indexed_output)
         result.columns = columns