BUG: Ensure rolling groupby doesn't segfault with center=True
- [x] closes #35552
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

can you merge master, looks good thanks @mroeschke  @MeeseeksDev backport to 1.1.x