ENH: Improve error message in corr/cov for Rolling/Expanding/EWM when other isn't a DataFrame/Series
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Also some internal method cleanups
thanks @mroeschke 