BUG: Using df.groupby().rolling() when grouping by a MultiIndex level causes the MultiIndex to lose levels
- [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.

---

When grouping a DataFrame which has a MultiIndex using the `level` parameter for `groupby`, performing any `rolling` operation will cause all MultiIndex levels except the one it was grouped by to be lost. This bug has been present since at least 1.1.5.

```python
import pandas as pd

print(pd.__version__)
df = pd.DataFrame({"idx1": [1] * 5 + [2] * 5, "idx2": range(10), "value": range(10)})
df = df.set_index(["idx1", "idx2"])
test = df.groupby(level=0).rolling(2).mean()
print(test.index)
```
On version 1.2.4:
 ```python
>>>1.2.4
>>>MultiIndex([(1,),
            (1,),
            (1,),
            (1,),
            (1,),
            (2,),
            (2,),
            (2,),
            (2,),
            (2,)],
           names=['idx1'])
```

On version 1.0.5:
```python
>>>1.0.5
>>>MultiIndex([(1, 1, 0),
            (1, 1, 1),
            (1, 1, 2),
            (1, 1, 3),
            (1, 1, 4),
            (2, 2, 5),
            (2, 2, 6),
            (2, 2, 7),
            (2, 2, 8),
            (2, 2, 9)],
           names=['idx1', 'idx1', 'idx2'])
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : 2cb96529396d93b46abab7bbc73a208e708c642e
python           : 3.9.4.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.18362
machine          : AMD64
processor        : Intel64 Family 6 Model 158 Stepping 10, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.1252
pandas           : 1.2.4
numpy            : 1.20.2
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 54.1.2
Cython           : None
pytest           : 6.2.4
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : 3.0.7
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : 1.4.13
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
