BUG: RollingGroupby respects __getitem__
- [x] closes #35486
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

thanks for addressing @mroeschke  @MeeseeksDev backport to 1.1.x