[cherry-pick] Support CPU Parallel in DataParallel Interface by GLOO to speed up training (#35745) (#36605)

* User specified backend (#35745)

* remove tensordot

* can pass the fake test

* add files

* modify cmake to pass windows-ci

* for ci pass

* WITH_GLOO=ON

* for pass coverage test

* add cpuonly testcase

* add

* disable nccl when compile with cuda

* change python version in cpuonly

* add backend argument

* add required gpu

* add required:gpu