Ancient topic, if someone still stumbles over this--another workaround is to convert via .astype(str) to string before grouping. That will conserve the NaN's.
df = pd.DataFrame({'a': ['1', '2', '3'], 'b': ['4', np.NaN, '6']})
df['b'] = df['b'].astype(str)
df.groupby(['b']).sum()
a
b
4 1
6 3
nan 2