BUG: RollingGroupby MultiIndex levels dropped
- [x] closes #38523 
- [x] closes #38787
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Essentially https://github.com/pandas-dev/pandas/pull/38737 but targeted for 1.3 as it appears that the current behavior is largely unexpected