BUG: Make sure correct values are passed to Rolling._on when axis=1
- [x] closes #28192
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

lgtm. @mroeschke think we need more testing for this? Hello @MarcoGorelli! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2019-09-04 16:32:05 UTC Thanks @MarcoGorelli! 