Make HorovodPlugin.all_gather return a tensor

[ananthsub]

What does this PR do?

Fixes #9695

The Horovod Plugin is the only plugin whose all_gather returns a List[torch.Tensor] instead of a regular tensor. this is despite the support or allgather here: https://horovod.readthedocs.io/en/stable/_modules/horovod/torch/mpi_ops.html#allgather

This PR updates the implementation of all gather here such that:

• It's consistent with the typehint provided (returning a Tensor, not a list)
• It's consistent with the training type plugin API

I'm unclear why it was implemented like this before

This is part of #7534
and came up during review of #9414 and #9677

Note: TrainingTypePlugin.all_gather is not called anywhere in the trainer. this is purely to power the LightningModule's all_gather's implementation. So this would be a breaking change iff someone was training with horovod and they depended on LightningModule.all_gather

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

Yes, this makes an in-place change to HorovodPlugin.all_gather to return a new return type

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[carmocca]

cc @tgaddair as the original author in #3775

[codecov]

Codecov Report

Merging #9696 (4c04a30) into master (a3def9d) will decrease coverage by 4%.
The diff coverage is 0%.

❗ Current head 4c04a30 differs from pull request most recent head 0aa986e. Consider uploading reports for the commit 0aa986e to get more accurate results

@@           Coverage Diff           @@
##           master   #9696    +/-   ##
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- Coverage      93%     89%    -4%     
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  Files         179     179            
  Lines       15314   15312     -2     
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- Hits        14208   13592   -616     
- Misses       1106    1720   +614     

[tchaton]

LGTM !