BUG: scipy rolling exponential is breaking MultiIndex columns

[epizut]

Pandas version checks

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• I have confirmed this bug exists on the main branch of pandas.

Issue Description

Adding win_type='exponential' to a rolling function drops the first column level.

Reproducible Example

import numpy as np
import pandas as pd

df = pd.DataFrame(
        index=pd.date_range('2024-01-01', periods=1),
        columns=pd.MultiIndex.from_product([('A', 'B'), ('a', 'b')])
    )
# the input multi-index column df
df

# the broken output with a missing first column level
df.rolling(5, min_periods=2, win_type='exponential').mean()

Expected Behavior

.rolling(...).mean(...) should always keep the original indexes.

Installed Versions

pandas==2.2.2
scipy==1.13.0

INSTALLED VERSIONS ------------------ commit : d9cdd2e python : 3.12.3.final.0 python-bits : 64 OS : Windows OS-release : 10 Version : 10.0.19045 machine : AMD64 processor : Intel64 Family 6 Model 106 Stepping 6, GenuineIntel byteorder : little LC_ALL : None LANG : None LOCALE : English_United States.1252

pandas : 2.2.2
numpy : 1.26.4
pytz : 2024.1
dateutil : 2.9.0.post0
setuptools : None
pip : 24.0
Cython : None
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : None
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : None
IPython : None
pandas_datareader : None
adbc-driver-postgresql: None
adbc-driver-sqlite : None
bs4 : None
bottleneck : None
dataframe-api-compat : None
fastparquet : None
fsspec : None
gcsfs : None
matplotlib : None
numba : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyreadstat : None
python-calamine : None
pyxlsb : None
s3fs : None
scipy : 1.13.0
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : None
zstandard : None
tzdata : 2024.1
qtpy : None
pyqt5 : None

[Aloqeely]

Thanks for the report. This is fixed on the main branch

[epizut]

Thank you for checking that.

[ahawryluk]

This bug is still present in 2.2.3, and occurs for any win_type other than None.