BUG: Closed parameter in rolling function producing ValueError
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
# Your code here
df = pd.DataFrame({"column1": range(6), 
                   "column2": range(6), 
                   'group': 3*['A','B'], 
                   'date':pd.date_range("20190101", periods=6)})
df.loc[:,'date']=df.loc[0,'date']
df
### Output
   column1  column2 group       date
0        0        0     A 2019-01-01
1        1        1     B 2019-01-01
2        2        2     A 2019-01-01
3        3        3     B 2019-01-01
4        4        4     A 2019-01-01
5        5        5     B 2019-01-01

df.groupby('group').rolling('1D',on='date',closed='left')['column1'].sum()
### Output
ValueError: closed only implemented for datetimelike and offset based windows
```

#### Problem description

Closed parameter not producing the result as it should. Only closed='both' is working.

Current workaround as follows (but considerably slower):
```
df.groupby('group').apply(lambda x: x.rolling('1D',on='date',closed='left')['column1'].sum())
```

#### Expected Output

```
group  date      
A      2019-01-01    NaN
       2019-01-01    0.0
       2019-01-01    2.0
B      2019-01-01    NaN
       2019-01-01    1.0
       2019-01-01    4.0
Name: column1, dtype: float64
```
Name: column1, dtype: float64


#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : d9fff2792bf16178d4e450fe7384244e50635733
python           : 3.8.5.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.18362
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 11, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.1252

pandas           : 1.1.0
numpy            : 1.18.5
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.1
setuptools       : 49.2.1.post20200802
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.17.0
pandas_datareader: None
bs4              : 4.9.1
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.0
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 1.0.0
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.0
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : 0.48.0

</details>
