BUG: RollingGroupby no longer keeps the groupby column in the result
- [x] closes #32262
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Borrowed some work from https://github.com/pandas-dev/pandas/pull/32332