BUG: Rolling groupby should not maintain the by column in the resulting DataFrame
- [x] closes #32262
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Does this seem like the correct idea? If so, I'll expand on tests / write whatsnew / think about a cleaner patch

EDIT
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lots of unwanted changes here, just seeing what tests fail

EDIT
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need to check the types make sense and see what's the proper way to write
```
kwargs["exclusions"] = self.exclusions
```