BUG: Rolling groupby should not maintain the by column in the resulting DataFrame
- [x] closes #32262
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Does this seem like the correct idea? If so, I'll expand on tests / write whatsnew / think about a cleaner patch

EDIT
----
lots of unwanted changes here, just seeing what tests fail

EDIT
----
need to check the types make sense and see what's the proper way to write
```
kwargs["exclusions"] = self.exclusions
```
@WillAyd thanks for your review - I've written it a different way (so no side-effects this time) Thanks @jreback - that probably simplifies the patch then.

What about if we use `.resample`? e.g.
```
>>> df
           id  score
date                
2010-01-01  A      2
2010-01-02  A      3
2010-01-05  A      8
2010-01-10  A      7
2010-01-13  A      3
2010-01-01  B      5
2010-01-03  B      2
2010-01-04  B      1
2010-01-11  B      7
2010-01-14  B      3

>>> df.groupby("id").resample("D").asfreq()
                id  score
id date                  
A  2010-01-01    A    2.0
   2010-01-02    A    3.0
   2010-01-03  NaN    NaN
   2010-01-04  NaN    NaN
   2010-01-05    A    8.0
   2010-01-06  NaN    NaN
   2010-01-07  NaN    NaN
   2010-01-08  NaN    NaN
   2010-01-09  NaN    NaN
   2010-01-10    A    7.0
   2010-01-11  NaN    NaN
   2010-01-12  NaN    NaN
   2010-01-13    A    3.0
B  2010-01-01    B    5.0
   2010-01-02  NaN    NaN
   2010-01-03    B    2.0
   2010-01-04    B    1.0
   2010-01-05  NaN    NaN
   2010-01-06  NaN    NaN
   2010-01-07  NaN    NaN
   2010-01-08  NaN    NaN
   2010-01-09  NaN    NaN
   2010-01-10  NaN    NaN
   2010-01-11    B    7.0
   2010-01-12  NaN    NaN
   2010-01-13  NaN    NaN
   2010-01-14    B    3.0
```
This is the output that's currently being tested for in `pandas/tests/resample/test_resampler_grouper.py` - this one's correct as it is, then? @jreback have pushed a new fix. Have had to update some tests which check output against `groupby.apply` Screenshot of whatsnew:

![image](https://user-images.githubusercontent.com/33491632/76016399-a62a5c00-5f14-11ea-991c-8c6853561d7d.png)

> where? let's fix that instead ofworking around. try/excepts are terrible to do around things like this.

Thanks for your feedback/patience, I'm really grateful to you (and the rest of the core team) for your reviews and am learning so much by doing this Yes, I see what you mean - to be honest I can't think of a clean solution, and have spent a while on it already. I'll close this for now so someone else can take it up