BUG: Segfault with string Index when using Rolling after Groupby
- [x] closes #36727
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The segfault was caused by ``self.obj.index.asi8=None`` when Index is a string Index. ``self._on.asi8`` solves that issue.

Additionally I noticed, that ``obj.index`` was already sorted, so the insert of ``extra_col`` mixed up the order. We should use ``self.obj.index``.

I will add a whats new after #36689 is merged.

cc @mroeschke 
Thanks @phofl! I suspect we may need to be using `self._on` in a lot more places as I don't think our test coverage of the `on` keyword is really extensive  hah  you already mentioned

> I will add a whats new after #36689 is merged. > I will add a whats new after #36689 is merged.

@phofl 


 thanks @phofl very nice needs a release note @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 3a63fedefe9c4f06c66242c07a211e1bbcd0f596
```

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

```
$ git commit -am 'Backport PR #36753: BUG: Segfault with string Index when using Rolling after Groupby'
```

4. Push to a named branch :

```
git push YOURFORK 1.1.x:auto-backport-of-pr-36753-on-1.1.x
```

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

> "Backport PR #36753 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).
                 @jreback  Thanks.

Sorry was busy today. Should I open another PR for a Release Note? cc @simonjayhawkins 