BUG/REG: RollingGroupby MultiIndex levels dropped
- [x] closes #38523
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This was accidentally caused by https://github.com/pandas-dev/pandas/pull/37661 where I thought https://github.com/pandas-dev/pandas/issues/37641 was a bug when it was actually the correct behavior.

Therefore, I had to change the behavior of some prior tests. 