[ZeRO] (Reland) Add ctor support for multiple param groups (#72932)
Summary:
Reland of https://github.com/pytorch/pytorch/pull/72578.
**Overview**
Windows CI was failing due to the multi-rank single-GPU case (see [here](https://github.com/pytorch/pytorch/runs/5204906995?check_suite_focus=true)).
To address this, I
- added `common_distributed.skip_if_no_gpu` for `test_multiple_param_groups()` to ensure that each rank can safely call `to(self.device)` -- this targets the expected SPSD use case where each rank has its own GPU;
- moved `test_constructor()` back to `TestZeroRedundancyOptimizerSingleRank` to check that the multiple parameter group method for construction works even on a single rank.
**Test Plan**
- I checked both tests for CPU, 1 GPU, 2 GPUs, 4 GPUs, and 8 GPUs.
- I added the `ciflow/win` label to run the failing Windows CI test.
Pull Request resolved: https://github.com/pytorch/pytorch/pull/72932
Reviewed By: rohan-varma
Differential Revision: D34281482
Pulled By: awgu
fbshipit-source-id: c4fe604ddd9d2c123c3071249741e6b8a6454b6e
(cherry picked from commit 6bea9bcc6349ff1aad403563206fb170a3af0c70)
