Remove unnecessary copy of gradients in util (#144329)
Summary:
No need to copy gradients to CPU too
X-link: https://github.com/pytorch/pytorch/pull/144329
Approved by: https://github.com/awgu, https://github.com/cyyever
Reviewed By: clee2000
Differential Revision: D67943148
fbshipit-source-id: dea67477dbc0a791cf4a8c72ca7c9e4d4381cc54
