Prevent loss to be moved to the cpu before backward call.

[tchaton]

What does this PR do?

Fixes #9296

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[codecov]

Codecov Report

Merging #9308 (490c45b) into master (b91747e) will decrease coverage by 4%.
The diff coverage is 100%.

❗ Current head 490c45b differs from pull request most recent head 0689444. Consider uploading reports for the commit 0689444 to get more accurate results

@@           Coverage Diff           @@
##           master   #9308    +/-   ##
=======================================
- Coverage      92%     88%    -4%     
=======================================
  Files         178     178            
  Lines       14855   14855            
=======================================
- Hits        13704   13093   -611     
- Misses       1151    1762   +611