[shard] remove set device for nccl (#69946)
Summary:
Pull Request resolved: https://github.com/pytorch/pytorch/pull/69946
This PR remove the implicit set_device for nccl pg according to the proposal of https://github.com/pytorch/pytorch/issues/69731
ghstack-source-id: 145847504
Test Plan: wait for ci
Reviewed By: pritamdamania87
Differential Revision: D33099095
fbshipit-source-id: 3fe9f6a0facf5ea513c267e9f32c6a7fd56cc8a2
