BUG: RollingGroupby with closed and column selection no longer raises ValueError
- [x] closes #35549
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
thanks @mroeschke  @meeseeksdev backport 1.1.x