BUG: rolling.cov with multi-index columns should preseve the MI
xref #16814

cc @Tuan333 

@TomAugspurger  @TomAugspurger note master is failing circle CI w.r.t. this change (#16814): https://circleci.com/gh/pandas-dev/pandas/2958.
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=h1) Report
> Merging [#16825](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/9e55af2552664267ce27c7fc6c932acb0651c259?src=pr&el=desc) will **increase** coverage by `0.02%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16825/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16825      +/-   ##
==========================================
+ Coverage   90.94%   90.96%   +0.02%     
==========================================
  Files         161      161              
  Lines       49272    49272              
==========================================
+ Hits        44811    44822      +11     
+ Misses       4461     4450      -11
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.74% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.17% <50%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/window.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvd2luZG93LnB5) | `96.49% <100%> (ø)` | :arrow_up: |
| [pandas/core/indexes/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZXMucHk=) | `95.23% <0%> (-0.1%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.05% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=footer). Last update [9e55af2...1754f08](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=h1) Report
> Merging [#16825](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/9e55af2552664267ce27c7fc6c932acb0651c259?src=pr&el=desc) will **increase** coverage by `0.02%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16825/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16825      +/-   ##
==========================================
+ Coverage   90.94%   90.97%   +0.02%     
==========================================
  Files         161      161              
  Lines       49272    49274       +2     
==========================================
+ Hits        44811    44825      +14     
+ Misses       4461     4449      -12
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.74% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.17% <20%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/window.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvd2luZG93LnB5) | `96.49% <100%> (ø)` | :arrow_up: |
| [pandas/core/indexes/multi.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9tdWx0aS5weQ==) | `96.65% <100%> (ø)` | :arrow_up: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.05% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=footer). Last update [9e55af2...ec893fb](https://codecov.io/gh/pandas-dev/pandas/pull/16825?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
