Fix set_env when using VecNormalize

[araffin]

Description

Motivation and Context

• I have raised an issue to propose this change (required for new features and bug fixes)

closes #637

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation (update in the documentation)

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• I have updated the changelog accordingly (required).
• My change requires a change to the documentation.
• I have updated the tests accordingly (required for a bug fix or a new feature).
• I have updated the documentation accordingly.
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[Miffyli]

LGTM! Sorry for the delay :)