BUG: Segfault with string Index when using Rolling after Groupby
- [x] closes #36727
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The segfault was caused by ``self.obj.index.asi8=None`` when Index is a string Index. ``self._on.asi8`` solves that issue.

Additionally I noticed, that ``obj.index`` was already sorted, so the insert of ``extra_col`` mixed up the order. We should use ``self.obj.index``.

I will add a whats new after #36689 is merged.

cc @mroeschke 