feat: enable GroupedTransformer.set_output(..)

[FBruzzesi]

Description

Custom logic to define get_feature_names_out for GroupedTransformer class and therefore enable set_output.

Closes #696

Type of change

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to not work as expected)

Checklist:

• My code follows the style guidelines (ruff)
• I have commented my code, particularly in hard-to-understand areas
• I have made corresponding changes to the documentation (also to the readme.md)
• I have added tests that prove my fix is effective or that my feature works
• I have added tests to check whether the new feature adheres to the sklearn convention
• New and existing unit tests pass locally with my changes

[FBruzzesi]

@koaning tests failing seem unrelated

[koaning]

Indeed, mhm. I will have a quick look at that. I think we can drop that test, mainly because OpenML can be flaky. This PR looks good though so I will merge it right away!