BUG: groupby drops na values of categorical even if dropna=False is set

[atkrueger]

• [ x] I have checked that this issue has not already been reported.

• [x ] I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

---

df = pd.DataFrame({'a': [1,2,3]})
dtype = pd.api.types.CategoricalDtype([1,2])
df['b'] =df.a.astype(dtype)
df.groupby('b',dropna=False).size()

Problem description

observations for categorical variables with na values are dropped from groupby() even if dropna=False is specified.

Expected Output

b
nan 1
1 1
2 1

Actual output

b
1 1
2 1

Output of pd.show_versions()

INSTALLED VERSIONS

commit : 9d598a5
python : 3.9.0.final.0
python-bits : 64
OS : Windows
OS-release : 10
Version : 10.0.19041
machine : AMD64
processor : AMD64 Family 25 Model 33 Stepping 0, AuthenticAMD
byteorder : little
LC_ALL : None
LANG : en.UTF-8
LOCALE : English_United States.1252

pandas : 1.2.1
numpy : 1.19.5
pytz : 2020.5
dateutil : 2.8.1
pip : 20.3.1
setuptools : 50.3.2
Cython : None
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : None
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 2.11.2
IPython : 7.19.0
pandas_datareader: None
bs4 : None
bottleneck : None
fsspec : None
fastparquet : None
gcsfs : None
matplotlib : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : 3.0.0
pyxlsb : None
s3fs : None
scipy : None
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : None
xlwt : None
numba : None

[rhshadrach]

Thanks for the report! This is a duplicate of #36327