REGR: RollingGroupby.corr producing incorrect results
- [x] closes #43386
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry

The regression is caused by the groupby paths requiring the data to be sorted by groups.

cc @mroeschke and @simonjayhawkins 
docs build failure unrelated:

> WARNING: failed to reach any of the inventories with the following issues:
intersphinx inventory 'https://www.statsmodels.org/devel/objects.inv' not fetchable due to <class 'requests.exceptions.ConnectionError'>: HTTPSConnectionPool(host='www.statsmodels.org', port=443): Max retries exceeded with url: /devel/objects.inv (Caused by NewConnectionError('<urllib3.connection.HTTPSConnection object at 0x7fab49a33f70>: Failed to establish a new connection: [Errno -3] Temporary failure in name resolution'))
building [mo]: targets for 0 po files that are out of date
building [html]: targets for 158 source files that are out of date
updating environment: [new config] 2550 added, 0 changed, 0 removed
reading sources... [  4%] development/code_style .. reference/api/pandas.DataFrame.dot there is a fail on the warnings built but i think already fixed on master

thanks @rhshadrach  @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.