BUG: misleading error message when aggregating duplicate column names in groupby

[batterseapower]

Pandas version checks

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

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

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

Reproducible Example

pd.DataFrame.from_dict({
    'A': [1, 2],
    'B': [3, 3],
    'C': ['G', 'G'],
}).groupby('C')[['A', 'B', 'A']].mean()

Issue Description

The above fails with an error like this:

  File "C:\Users\mboling\Anaconda3\envs\pandastest2\lib\site-packages\pandas\core\groupby\generic.py", line 1538, in __getitem__
    return super().__getitem__(key)
  File "C:\Users\mboling\Anaconda3\envs\pandastest2\lib\site-packages\pandas\core\base.py", line 222, in __getitem__
    raise KeyError(f"Columns not found: {str(bad_keys)[1:-1]}")
KeyError: 'Columns not found: '

This is misleading -- the A and B columns are all present in the input, the real problem is that the A column is repeated.

Expected Behavior

It would be better to either not fail in this case (i.e. return a DataFrame with duplicate column names) or fail with an error message that mentions that the input columns contain duplicates.

Installed Versions

Tested on Pandas 1.3.4, but that install has a broken show_versions for some reason, so this is show_versions from an older install that also exhibits the problem.

INSTALLED VERSIONS ------------------ commit : 945c9ed python : 3.8.12.final.0 python-bits : 64 OS : Windows OS-release : 10 Version : 10.0.18363 machine : AMD64 processor : Intel64 Family 6 Model 85 Stepping 7, GenuineIntel byteorder : little LC_ALL : None LANG : None LOCALE : English_United Kingdom.1252

pandas : 1.3.4
numpy : 1.21.3
pytz : 2021.3
dateutil : 2.8.2
pip : 21.1.1
setuptools : 58.0.4
Cython : 0.29.24
pytest : 6.2.4
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : 4.6.3
html5lib : 1.1
pymysql : None
psycopg2 : None
jinja2 : 3.0.2
IPython : 7.29.0
pandas_datareader: None
bs4 : 4.10.0
bottleneck : 1.3.2
fsspec : 2021.08.1
fastparquet : None
gcsfs : None
matplotlib : 3.4.3
numexpr : 2.7.3
odfpy : None
openpyxl : 3.0.9
pandas_gbq : None
pyarrow : 3.0.0
pyxlsb : None
s3fs : None
scipy : 1.6.2
sqlalchemy : None
tables : 3.6.1
tabulate : None
xarray : 0.19.0
xlrd : 2.0.1
xlwt : None
numba : 0.53.1

[simonjayhawkins]

It would be better to either not fail in this case (i.e. return a DataFrame with duplicate column names) or

This was the behavior before 1.1.5

first bad commit: [e99e5ab] BUG: Fix duplicates in intersection of multiindexes (#36927)

cc @phofl