BUG: rolling window iterator with on should replace with the window index with the on column
- [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.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
df = pd.DataFrame({'A': range(10), 'B': range(10,0,-1)}).reset_index()
for group in df.rolling(5, on='index'):
    print(len(group))
```

Prints:
```
1
2
3
4
5
5
5
5
5
5
```

#### Problem description

With a rolling window all groups should be always the same size (5 in the above example) and so the first 4 groups should be skipped. The first groups are an expanding window which then turn into a rolling window. 

Additionally, the API is a bit unexpected when you compare to a `for idx, group in df.groupby('col')` operation. With a `groupby` each element also provides the index, while `rolling` it just provides the grouped data and removes the grouping index column (i.e. the column `index` does not exist in `group`).

#### Expected Output

```
5
5
5
5
5
5
```

Even better it would also include the index so that:

```
for idx, group in df.rolling(5, on='index'):
    print(len(group))
```

Would work

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

<details>

INSTALLED VERSIONS
------------------
commit           : db08276bc116c438d3fdee492026f8223584c477
python           : 3.8.5.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-1100-azure
Version          : #111~16.04.1-Ubuntu SMP Thu Nov 19 06:49:21 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.3
numpy            : 1.19.2
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.4
setuptools       : 50.3.1.post20201107
Cython           : 0.29.17
pytest           : 6.1.1
hypothesis       : None
sphinx           : 3.2.1
blosc            : None
feather          : None
xlsxwriter       : 1.3.7
lxml.etree       : 4.6.1
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.19.0
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : 1.3.2
fsspec           : 0.8.3
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.2
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.5
pandas_gbq       : None
pyarrow          : 3.0.0
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : 1.3.20
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : 0.51.2

</details>
