BUG: multiple index dataframe with index names groupy rolling computing reture wrong index
- [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.

---

#### Code Sample

```python
import pandas as pd
arrays = [np.array(['bar', 'bar', 'baz', 'baz', 'foo', 'foo', 'qux', 'qux']), np.array(['one', 'two', 'one', 'two', 'one', 'two', 'one', 'two'])]
df = pd.DataFrame(np.random.randn(8, 4), index=arrays)
df.groupby(level=0).rolling(window=2).mean()
```
the result:
```
                    0         1         2         3
bar bar one       NaN       NaN       NaN       NaN
        two -0.361421 -0.696686 -0.746137 -0.053621
baz baz one       NaN       NaN       NaN       NaN
        two  1.014213  0.575803  0.199990 -0.596995
foo foo one       NaN       NaN       NaN       NaN
        two -0.337821  0.921825  0.256034 -0.572588
qux qux one       NaN       NaN       NaN       NaN
        two -0.404824 -1.209763  0.581025 -0.741480
```

```
#now set the name to the index
df.index.names=['a','b']
df.groupby(level=0).rolling(window=2).mean()
```
the result:
```
            0         1         2         3
a
bar       NaN       NaN       NaN       NaN
bar -0.361421 -0.696686 -0.746137 -0.053621
baz       NaN       NaN       NaN       NaN
baz  1.014213  0.575803  0.199990 -0.596995
foo       NaN       NaN       NaN       NaN
foo -0.337821  0.921825  0.256034 -0.572588
qux       NaN       NaN       NaN       NaN
qux -0.404824 -1.209763  0.581025 -0.741480
```


#### Problem description

multiple index dataframe with index names groupy rolling computing reture wrong index

#### Expected Output

the return result should keep the original index

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

<details>

In [36]: pd.show_versions()

INSTALLED VERSIONS
------------------
commit           : b5958ee1999e9aead1938c0bba2b674378807b3d
python           : 3.8.2.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Mon Aug 31 22:12:52 PDT 2020; root:xnu-6153.141.2~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : zh_CN.UTF-8
LOCALE           : zh_CN.UTF-8

pandas           : 1.1.5
numpy            : 1.19.4
pytz             : 2020.4
dateutil         : 2.8.1
pip              : 20.2.4
setuptools       : 50.3.2
Cython           : None
pytest           : 6.2.0
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.19.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : 1.2.14
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.1.0
xlwt             : None
numba            : None
</details>
