Reaction between acrolein and hydrazine
Your suggestion of resulting corresponding hydrazone by the reaction between acrolein and hydrazine is correct. It is normal hydrazine-hydrozone reaction you perform in idetifocation of aldehyde and ketone carbonyl groups. Usually, E-isomer is preferred (Ref.1). E- to Z-isomerization can be occurred in presence of trace amount of acid (Ref.1). I expect that may be the case during constant heating. As a result, Z-isomer can undergo intramolecular Michael addition as depicted in following mechanism to give dihydropyrazole:





References:


Shigehisa Uchiyama, Masanori Ando, Shohei Aoyagagi, "Isomerization of aldehyde-2,4-dinitrophenylhydrazone derivativesand validation of high-performance liquid chromatographic analysis," Journal of Chromatography A 2003, 996(1-2), 95–102 (https://doi.org/10.1016/S0021-9673(03)00542-9).