BUG: Fix windowing over read-only arrays
- [x] closes #27766
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

https://github.com/pandas-dev/pandas/pull/27736, which touches these files, is scheduled for 1.0. I'd prefer to see this in 0.25.1. :grin:  thanks @kernc 

very nice putting up a bug report AND a PR!