PERF: fix regression in creation of resulting index in RollingGroupby
Closes #38038

TODO: fix corner cases, add benchmark, ..
We do but the ASV only has 1000 data points while the original example has 10000000 > We do but the ASV only has 1000 data points while the original example has 10000000

does this still show a decent time diff? (and should increase that asv to 10k or so) @jorisvandenbossche i something is actually failing here. can you merge master and see if you can fixup. > We do but the ASV only has 1000 data points while the original example has 10000000

I added an additional benchmark, instead of changing the existing one to include larger data. Because for the case of the benchmarks, we actually had a nice performance *improvement* in 1.0->1.1 (instead of regression). So it is clearly capturing different aspects. 
The newly added (and the report in https://github.com/pandas-dev/pandas/issues/38038) is basically one with a limited number of groups, where the rolling apply calculation itself was quite cheap, and so the construction of the MulitIndex of the result dominated the profile. So a summary of the failing tests.

**First case** is on an empty dataframe, where the dtype of the level of the MultiIndex changed:

```
df = pd.DataFrame({"s1": []})
result = df.groupby("s1").rolling(window=1).sum()
expected = df.copy()
expected.index = pd.MultiIndex.from_tuples([], names=["s1", None])
```
```
In [5]: df.index
Out[5]: RangeIndex(start=0, stop=0, step=1)

In [6]: result.index.levels[0]
Out[6]: Float64Index([], dtype='float64', name='s1')

In [7]: expected.index.levels[0]
Out[7]: Index([], dtype='object', name='s1')

In [9]: result.index.levels[1]
Out[9]: Int64Index([], dtype='int64')

In [10]: expected.index.levels[1]
Out[10]: Index([], dtype='object')
```

But for example, when doing a normal groupby on this empty dataframe, you *also* get back an empty float index:

```
In [12]: df.groupby("s1").sum().index
Out[12]: Float64Index([], dtype='float64', name='s1')
```

So at least this is consistent with groupby itself (or, if it's a bug, it's probably one in groupby, and not in the rolling code)

---

The **second case** is with groupby with `dropna=False`, and the difference is about the NaN being included in the levels vs in the codes of the resulting MultiIndex:

```
df = pd.DataFrame(
    {"group": ["g1", np.nan, "g1", "g2", np.nan], "B": [0, 1, 2, 3, 4]}
)
result = df.groupby("group", dropna=False).rolling(1, min_periods=1).mean()
expected = pd.DataFrame(
    {"B": [0.0, 2.0, 3.0, 1.0, 4.0]},
    index=pd.MultiIndex.from_tuples(
        [("g1", 0), ("g1", 2), ("g2", 3), (np.nan, 1), (np.nan, 4)],
        names=["group", None],
    )
)
```

```
In [16]: result.index.levels[0]
Out[16]: Index(['g1', 'g2', nan], dtype='object', name='group')

In [17]: result.index.codes[0]
Out[17]: array([0, 0, 1, 2, 2], dtype=int8)

In [18]: expected.index.levels[0]
Out[18]: Index(['g1', 'g2'], dtype='object', name='group')

In [19]: expected.index.codes[0]
Out[19]: array([ 0,  0,  1, -1, -1], dtype=int8)
```

Again, this seems to be caused by groupby, as the same behaviour can be noticed there:


```
# adding a group column so we can get a MultiIndex as result
In [20]: df["group2"] = 1

In [21]: result2 = df.groupby(["group", "group2"], dropna=False).mean()

In [22]: result2
Out[22]: 
                B
group group2     
g1    1       1.0
g2    1       3.0
NaN   1       2.5

In [23]: result2.index.levels[0]
Out[23]: Index(['g1', 'g2', nan], dtype='object', name='group')

In [24]: result2.index.codes[0]
Out[24]: array([0, 1, 2], dtype=int8)
```

I don't know if we have a general rule about where missing values should be included? (in the levels vs the codes?) 
I would expect that we generally prefer to have them in the codes, though (but again, this is then more a bug in groupby, and not rolling) we likely don't support dropna=False in 1.1.x at all (or its just wrong), wouldn't worry about the 2nd case for now. (but can create an issue on master for this). Indeed, that second case was only introduced in https://github.com/pandas-dev/pandas/pull/36842, which fixed `dropna=False` case (so on master, not yet in a released version). 
And I can confirm that on pandas 1.1.4, the NaNs were incorrectly dropped for the example above. So changing the test won't change behaviour compared to previous releases, so will update the test. I also added a few tests specifically related to the resulting MultiIndex (it's a bit hard to see to what extent the existing tests already cover this or not, but it are the examples I was using to test while implementing the fix). 
I wrote the examples and expected result using pandas 1.0.5, and also tested that they are passing on master (without this change) as well. I changed the expected result for the first case as well (rolling operation on groupby). Since the original index of the dataframe is an (empty) RangeIndex, using a numeric index level seems actually more correct than an object type. A bit a corner case, though .. > do we need to add a note that the return index is now 'fixed'?

For the dropna case certainly not, since that was only something in master. For the empty it could be mentioned, but not fully sure it is worth it (I am also not fully convinced it is completely fixed, I think groupby should maybe give an empty int64 index instead of empty float64 index).

But the performance fix is certainly worth noting, will add a whatsnew for that. lgtm. just wanted to have @mroeschke give a glance. test failure unrelated and seen on other PRs

```
=========================== short test summary info ============================
FAILED pandas/tests/series/indexing/test_indexing.py::test_loc_setitem_2d_to_1d_raises
FAILED pandas/tests/util/test_show_versions.py::test_show_versions - Assertio...
= 2 failed, 133017 passed, 13911 skipped, 1390 xfailed, 41 xpassed in 1053.70s (0:17:33) =
``` @meeseeksdev backport 1.1.x Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.1.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 6d0dab4c0914031517be4a3d1aff999e25cc2649
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #38057: PERF: fix regression in creation of resulting index in RollingGroupby'
```

4. Push to a named branch :

```
git push YOURFORK 1.1.x:auto-backport-of-pr-38057-on-1.1.x
```

5. Create a PR against branch 1.1.x, I would have named this PR:

> "Backport PR #38057 on branch 1.1.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                 Thanks for the quick fix on this one, and I hope my simplified example wasn't misleading. I originally spotted this on a real life example with in the order of five times as much data and about 200 groups. Do you think this still classes as a low number of groups? @cpmbailey you're welcome (and thank you for reporting a easy reproducible example). 
It's not the exact number of groups, but mostly the relative number compared to the total size that triggers the issue. So for large data, 200 groups can be relatively small.  This is much improved, I only get twice as long against 1.0.5 now.