[training] SAVE_STATE_WARNING was removed in pytorch
`SAVE_STATE_WARNING` has been removed from pytorch 3 days ago: pytorch/pytorch#46813

I had to add redundant ()'s to avoid a terrible auto-formatter outcome.

Fixes: #8232

@sgugger, @LysandreJik 
Thank God they removed that horrible thing! Instead of the complex parsing, maybe a `try`/`except` would be cleaner?<|||||> no horrible formatting that way! good idea - done.<|||||>@stas00, could it be possible to apply your fix to the code of version `3.5.X` and release the next **minor** version (like v3.5.2)?<|||||>@LysandreJik, your help is needed here. I don't know anything about how old branches maintenance is done. 

This PR was merged in 4x series and @vyshkant is requesting this fix applied to 3.5.x for the next release.

Thank you.<|||||>No we won't do fixes for old versions, either upgrade to v4 or use PyTorch < 1.8 if you want to stick to v3.5.