Update init_ddp_connection's name and log

[four4fish]

What does this PR do?

FSDP and DDP2 inherit DDP and calling setup_distributed() functions, which calls init_ddp_connection. In log, it shows "initial DDP connection" which is confusing. This PR renamed the function and fixed the log

Fixes #10256

Does your PR introduce any breaking changes? If yes, please list them.

Before submitting

• Was this discussed/approved via a GitHub issue? (not for typos and docs)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure your PR does only one thing, instead of bundling different changes together?
• Did you make sure to update the documentation with your changes? (if necessary)
• Did you write any new necessary tests? (not for typos and docs)
• Did you verify new and existing tests pass locally with your changes?
• Did you list all the breaking changes introduced by this pull request?
• Did you update the CHANGELOG? (not for typos, docs, test updates, or internal minor changes/refactorings)

PR review

Anyone in the community is welcome to review the PR.
Before you start reviewing make sure you have read Review guidelines. In short, see the following bullet-list:

• Is this pull request ready for review? (if not, please submit in draft mode)
• Check that all items from Before submitting are resolved
• Make sure the title is self-explanatory and the description concisely explains the PR
• Add labels and milestones (and optionally projects) to the PR so it can be classified

Did you have fun?

Make sure you had fun coding 🙃

[ananthsub]

proposal to have a dist label on github to classify distributed comms/training/execution issues:
right now everything is grouped under the DDP label, but that should be reserved for DistributedDataParallel items.

@PyTorchLightning/core-contributors wdyt?

[tchaton]

LGMT !