Revert "BUG/REG: RollingGroupby MultiIndex levels dropped (#38737)"
This reverts commit a37f1a45e83d7f803d7fcab7d384da28e9c1e714.

reverts PR #38737

I think we ended up deciding to revert on master and backport to keep master and 1.2.x in sync and not release this change in 1.2.1 to allow for further discussion.

once this revert PR merged:
- [x] backport
- [x] the blocker tag can then be removed from #38787
- [x] #38523 will be reopen temporarily
- [ ] @mroeschke will open a new PR with these changes (in draft? milestoned 1.2.2?)

if not these changes, the mutliindex with a single level may still need resolution (and backport) to close #38523

cc @mroeschke @jorisvandenbossche 

add 1.2.1 milestone for this revert for backport.

