Fix compressed multiindex for output of groupby.rolling
- [x] closes #36018 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The number of leves for MultiIndex in input was compressed to one, because the tuples representing the Index rows were not unpacked. Also name was used instead of names -> resulted in missing name for every MultiIndex.
thanks @phofl very nice, keep em coming! @meeseeksdev backport 1.1.x