rolling.apply or rolling.agg doesn't work on string columns
#### Code Sample, a copy-pastable example if possible

```
dat = pd.DataFrame(
    {'number': [2, 2, 3], 'string': ['a', 'a', 'b']},
    index=pd.date_range('2018-01-01', periods=3, freq='1s')
)
dat.rolling('2min').apply(lambda x: len(np.unique(x)))
                      number	string
2018-01-01 00:00:00	1.0	a
2018-01-01 00:00:01	1.0	a
2018-01-01 00:00:02	2.0	b
```
#### Problem description
What I am trying to do is counting how many unique values in a rolling window. This works well for the numeric column *dat.number* but the string column *dat.string* simply only returns what it was.

In the above example, I expect to see the two columns in the output are the same as the number of unique values are 1, 1, 2 starting from the first row. However the string column returns a, a, b.

#### Expected Output
```
                    number	string
2018-01-01 00:00:00	1.0	1.0
2018-01-01 00:00:01	1.0	1.0
2018-01-01 00:00:02	2.0	2.0
```
#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.6.5.final.0
python-bits: 64
OS: Linux
OS-release: 4.13.0-38-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_AU.UTF-8
LOCALE: en_AU.UTF-8

pandas: 0.22.0
pytest: None
pip: 9.0.3
setuptools: 39.0.1
Cython: None
numpy: 1.14.2
scipy: 1.0.1
pyarrow: None
xarray: None
IPython: 6.3.0
sphinx: 1.7.2
patsy: 0.5.0
dateutil: 2.7.2
pytz: 2018.3
blosc: None
bottleneck: None
tables: 3.4.2
numexpr: 2.6.4
feather: None
matplotlib: 2.2.2
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 1.0.1
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

</details>
