ENH/ERR: More consistent error reporting with invalid win_type in rolling
- [x] closes #15969
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Also in-lining methods that were only used once and moving a BaseIndexer test that was using `win_type`