BUG: MultiIndex RollingGroupby returns only one level of 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.

---


```python
import pandas as pd
print(pd.__version__)

arrays = [['Falcon', 'Falcon', 'Parrot', 'Parrot'],
          ['Captive', 'Wild', 'Captive', 'Wild']]
index = pd.MultiIndex.from_arrays(arrays, names=('Animal', 'Type'))
df = pd.DataFrame({'Max Speed': [390., 350., 30., 20.]},
                  index=index)
print(df, '\n')
print(df.groupby(level=0)['Max Speed'].rolling(2).sum())
```

#### Problem description

Version 1.1.5 returned different result compared to earlier versions

#### Expected Output (0.22.0)

    0.22.0
                    Max Speed
    Animal Type              
    Falcon Captive      390.0
           Wild         350.0
    Parrot Captive       30.0
           Wild          20.0 
    
    Animal  Animal  Type   
    Falcon  Falcon  Captive      NaN
                    Wild       740.0
    Parrot  Parrot  Captive      NaN
                    Wild        50.0
    Name: Max Speed, dtype: float64

#### Expected Output (1.1.3)

    1.1.3
                    Max Speed
    Animal Type              
    Falcon Captive      390.0
           Wild         350.0
    Parrot Captive       30.0
           Wild          20.0 
    
    Animal  Animal  Type   
    Falcon  Falcon  Captive      NaN
                    Wild       740.0
    Parrot  Parrot  Captive      NaN
                    Wild        50.0
    Name: Max Speed, dtype: float64

#### Output (1.1.5)

    1.1.5
                    Max Speed
    Animal Type              
    Falcon Captive      390.0
           Wild         350.0
    Parrot Captive       30.0
           Wild          20.0 
    
    Animal
    Falcon      NaN
    Falcon    740.0
    Parrot      NaN
    Parrot     50.0
    Name: Max Speed, dtype: float64

<details>

INSTALLED VERSIONS
------------------
commit           : b5958ee1999e9aead1938c0bba2b674378807b3d
python           : 3.7.9.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : Intel64 Family 6 Model 85 Stepping 4, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.1.5
numpy            : 1.19.2
pytz             : 2020.4
dateutil         : 2.8.1
pip              : 20.3.3
setuptools       : 51.0.0.post20201207
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.6.2
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.19.0
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.2
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 0.15.1
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : None
tables           : None
tabulate         : 0.8.7
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
