Fill in missing dates of groupby

One way is to use pivot_table and then unstack:

In [11]: df.pivot_table("VALUE", "DATE", "ID")
Out[11]:
ID             1    2
DATE
28-02-2006   5.0  NaN
30-06-2006  11.0  NaN
31-01-2006   5.0  5.0
31-02-2006   NaN  5.0
31-03-2006   NaN  5.0
31-04-2006   NaN  5.0
31-05-2006  10.0  NaN

In [12]: df.pivot_table("VALUE", "DATE", "ID").unstack().reset_index()
Out[12]:
    ID        DATE     0
0    1  28-02-2006   5.0
1    1  30-06-2006  11.0
2    1  31-01-2006   5.0
3    1  31-02-2006   NaN
4    1  31-03-2006   NaN
5    1  31-04-2006   NaN
6    1  31-05-2006  10.0
7    2  28-02-2006   NaN
8    2  30-06-2006   NaN
9    2  31-01-2006   5.0
10   2  31-02-2006   5.0
11   2  31-03-2006   5.0
12   2  31-04-2006   5.0
13   2  31-05-2006   NaN

---

An alternative, perhaps slightly more efficient way is to reindex from_product:

In [21] df1 = df.set_index(['ID', 'DATE'])

In [22]: df1.reindex(pd.MultiIndex.from_product(df1.index.levels))
Out[22]:
              VALUE
1 28-02-2006    5.0
  30-06-2006   11.0
  31-01-2006    5.0
  31-02-2006    NaN
  31-03-2006    NaN
  31-04-2006    NaN
  31-05-2006   10.0
2 28-02-2006    NaN
  30-06-2006    NaN
  31-01-2006    5.0
  31-02-2006    5.0
  31-03-2006    5.0
  31-04-2006    5.0
  31-05-2006    NaN