BUG: Rolling.__iter__ includes on index columns in the result
- [x] closes #40373
- [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

`self._on` has freq="D" with arraymanager and not with blockmanager, bc in BlockManager we drop the freq when putting a DTI into a block. Thanks for the explanation @jbrockmendel. Would you consider that a "bug" in BlockManager then? > Would you consider that a "bug" in BlockManager then?

No.  I think its overwhelmingly likely that the BM behavior will eventually be shared. Okay I'm going to punt on this until the AM & BM behavior aligns. Probably not worth having a work around for either case. ill move aligning these up my priority list and ping you when it happens No worries. This is just a nice to fix issue so no real priority. looks fine some ci/checks are failing (maybe just rebase)? Rebased and green.