BUG: RollingGroupby no longer keeps the groupby column in the result
- [x] closes #32262
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Borrowed some work from https://github.com/pandas-dev/pandas/pull/32332
cc @pandas-dev/pandas-core, @pandas-dev/pandas-triage  if any comments (this was a discussion item on the call i think month before last)
 https://github.com/pandas-dev/pandas/issues/38787 was the discussion item I believe you are referring to @jreback which this PR does not address thanks @mroeschke 