BUG: RollingGroupby ignored as_index=False
- [x] closes #39433
- [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

Does this fix #31007? Haven't looked closely but seen this in the past @phofl unfortunately doesnt look like it

```
In [1]: import pandas as pd
   ...:
   ...: data = {
   ...:     'groupby_col': ['A', 'A', 'A', 'A', 'A', 'B', 'B', 'B', 'B', 'B', ],
   ...:     'agg_col': [1, 1, 0, 1, 0, 0, 0, 0, 1, 0],
   ...: }
   ...: df = pd.DataFrame(data)
   ...: df.groupby(['groupby_col'], as_index=False).rolling(4).agg({'agg_col': 'mean'})
Out[1]:
               agg_col
groupby_col
A           0      NaN
            1      NaN
            2      NaN
            3     0.75
            4     0.50
B           5      NaN
            6      NaN
            7      NaN
            8     0.25
            9     0.25
```

`agg` still goes partially through groupby code I think to calculate the index result.  Pitty, thanks for checking thanks @mroeschke 