Rolling on DataFrameGroupBy duplicated index column when part of the grouping cols is from index
…grouping cols is from index

- [x] closes #36794
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Could not find a elegant way, to avoid adding the components in the for loop, so I dropped it from the resulting MultiIndex again.

Had to change a test, which depended on the wrong behavior.

cc @mroeschke 