TST: Add test for rolling window, see GH 34605
- [X] closes #34605 
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Dear maintainers,

I'm opening this PR to address issue #34605.

~I've made the test conditional to Python 3.8 as I'm using the positional only syntax as strong check. If this is not desired, let me know and I will change the function to explicitly check for the length of `*args`.~

Edit: maybe the usage of `parametrize` is a bit exaggerated here.
Edit2: Using Python 3.8 only features does not pleases the tests. Updating.