[debug] DebugUnderflowOverflow doesn't work with DP
As reported in https://github.com/huggingface/transformers/issues/12815 `DebugUnderflowOverflow` breaks under DP since the model gets new references to model sub-modules/params on replication and the old references are needed to track the model layer names. 

It might be possible to think of some workaround, most likely overriding `torch.nn.parallel.data_parallel.replicate` to refresh the model references after the replication, but at the moment this is not required, since DDP works just fine. (or single GPU).

So this PR adds a clean assert when DP is used, instead of a confusing exception. Update docs.

Fixes: https://github.com/huggingface/transformers/issues/12815

@sgugger 