[DCP] Asserts CPU backend for async_save (#120241)
If a CPU device is not present, collectives will hang in the threaded case due to: https://github.com/pytorch/pytorch/issues/115861
This PR asserts a CPU device is enabled in the pg group backend.
Differential Revision: [D53952864](https://our.internmc.facebook.com/intern/diff/D53952864/)
Pull Request resolved: https://github.com/pytorch/pytorch/pull/120241
Approved by: https://github.com/fegin
