FIX-#2596: added comment about pandas regression

Signed-off-by: Dmitry Chigarev <[email protected]>

Author: dchigarev

modin/data_management/functions/groupby_function.py

@@ -77,8 +77,11 @@ def reduce(
         drop=False,
         **kwargs,
     ):
-        by_part = list(df.index.names)
-        if drop and len(df.columns.intersection(pandas.Index(by_part))) > 0:
+        # Wrapping names into an Index should be unnecessary, however
+        # there is a bug in pandas with intersection that forces us to do so:
+        # https://github.com/pandas-dev/pandas/issues/39699
+        by_part = pandas.Index(df.index.names)
+        if drop and len(df.columns.intersection(by_part)) > 0:
             df.drop(columns=by_part, errors="ignore", inplace=True)
 
         groupby_args = groupby_args.copy()