COMPAT: Ensure rolling indexers return intp
- [x] closes #35148
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Unable to test this locally for the MacPython build, but I am pretty sure this is the main culprit of that failing job.
Wouldn't it be better if all the indexers were just platform int to begin with so we don't have to worry about casting? no int64 are fine Going to start over in a new branch > @mroeschke none of this is needed or a good idea. you only need to ensure_platform_int when indexing via .take

How do we know that it's safe to cast at take time? Ensuring that indicies are the platform int seems like the way to go. @mroeschke in case it helps, here's the dockerfile I'm using locally

```
FROM quay.io/pypa/manylinux1_i686

RUN /opt/python/cp38-cp38/bin/python -m pip install \
  cython \
  numpy \
  python-dateutil \
  pytz \
  pytest \
  hypothesis
COPY pandas /pandas
RUN cd /pandas && /opt/python/cp38-cp38/bin/python setup.py build_ext -i -j 4
```

Then run it and mount the `pandas/` directory to `/pandas` so you can easily test things.