Add support for torch.set_detect_anomaly

[ananthsub]

What does this PR do?

This carries forward #9175 which has gone stale. I'm creating a separate PR because the v1.5 release is coming soon, and I'm unsure whether the OP of #9175 has time to address the reviews before the release.
Fixes #8313

Note to reviewers: This intentionally does not deprecate terminate_on_nan. To ensure this PR only does one thing, I will create a separate PR to deprecate terminate_on_nan (#9849)

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

No

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[awaelchli]

Let's keep #9175 and merge it after this one with the remaining changes? I'll assign myself to update the PR if it's ok.