Backport PR #38737 on branch 1.2.x (BUG/REG: RollingGroupby MultiIndex levels dropped)
Backport PR #38737: BUG/REG: RollingGroupby MultiIndex levels dropped
> Personally, I think we should first discuss this further before merging into 1.2.x, see [#38737 (comment)](https://github.com/pandas-dev/pandas/pull/38737#issuecomment-752205894)

ok. I actually think we *should* change this. I am also ok doing it for 1.2.x, but conversatively it might be better in 1.3 To be clear I am fine with doing this for 1.2.x, *if* we know this is the behaviour we actually want. But so we should probably first discuss, and based on that can still merge into 1.2.x. Started a new discussion in https://github.com/pandas-dev/pandas/issues/38787.

Regardless, isn't it okay to still fix this perceived regression in 1.2.x and then possibly have a formal API behavior change in 1.3.0? So we changed behaviour between 1.0.5 and 1.1.5, which is now also in 1.2.0 (for certain cases). So it's actually already a regression in 1.1.5, I think, and not only 1.2.0?

*Assume* that we decide that we actually want to keep the behaviour from 1.1.5/1.2.0 long-term, then I don't think we should revert back to the 1.0.5 behaviour in 1.2.1, to then change again in 1.3.0 to the behaviour of 1.1.5/1.2.0 (but then we could rather say: "OK, we accidentally changed behaviour in 1.1.5, but we actually think it is better, so let's now leave it as is"). 

That's a big *if* on what behaviour we want long term, and it might well be that we also long term want to change back to the 1.0.5 behavior. In which case this PR should certainly be merged for 1.2.x. But I would still have the discussion first to avoid the potential back and forth change in that example scenario above. @jorisvandenbossche not merging a backport is not ideal as causes the releases notes to be out of sync and the potential for merge conflicts preventing auto backports

I think we should consider one of the following as a preference to leaving this in limbo 

1. merging the backport, and can then maybe revert before release if necessary
2. revert the PR to master, reopen, and only merge when ready
3. close this PR, move the release notes on master, and then do a manual backport when ready.  added the blocker tag to #38787. so I think the best option is now to backport and revert if necessary.

will merge this shortly is no objections. yep let's do it 