DEPR: Update groupby.apply DeprecationWarning to FutureWarning

[rhshadrach]

• closes #xxxx (Replace xxxx with the GitHub issue number)
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

Ref: #54950 (comment)

[rhshadrach]

Just got caught up with some of the chat on slack, marking this as a draft until #59513 is merged.

[github-actions]

This pull request is stale because it has been open for thirty days with no activity. Please update and respond to this comment if you're still interested in working on this.

[WillAyd]

I'll admit I didn't track the full scope of this, but as far as the change from Deprecation to FutureWarning goes in 2.3 I would be on board.

I see this has been open for a while. Let's give @jorisvandenbossche a few days in case of any objection; otherwise can merge!

[jorisvandenbossche]

I also assume we discussed the actual deprecation thoroughly before, and then +1 on updating it from DeprecationWarning to FutureWarning now.

[jorisvandenbossche]

@rhshadrach can you add a brief whatsnew note for 2.3 (maybe just linking to the earlier whatsnew note about it). Users might still start seeing this when updating to 2.3, so it would be good to have some mention of it.