@albanD
This is the self contained dummy example/prototype I built to debug this issue:
import torch
import torch.nn as nn

import copy

from collections import OrderedDict

# img = torch.randn([8,3,32,32])
# targets = torch.LongTensor([1, 2, 0, 6, 2, 9, 4, 9])
# img = torch.randn([1,3,32,32])
# targets = torch.LongTensor([1])
x = torch.randn(1)
target = 12.0*x**2

criterion = nn.CrossEntropyLoss()

#loss_net = nn.Sequential(OrderedDict([('conv0',nn.Conv2d(in_channels=3,out_channels=10,kernel_size=32))]))
loss_net = nn.Sequential(OrderedDict([('fc0', nn.Linear(in_features=1,out_features=1))]))

hidden = torch.randn(size=(1,1),requires_grad=True)
updater_net = nn.Sequential(OrderedDict([('fc0',nn.Linear(in_features=1,out_features=1))]))
print(f'updater_net.fc0.weight.is_leaf = {updater_net.fc0.weight.is_leaf}')
#
nb_updates = 2
for i in range(nb_updates):
    print(f'i = {i}')
    new_params = copy.deepcopy( loss_net.state_dict() )
    ## w^<t> := f(w^<t-1>,delta^<t-1>)
    for (name, w) in loss_net.named_parameters():
        print(f'name = {name}')
        print(w.size())
        hidden = updater_net(hidden).view(1)
        print(hidden.size())
        #delta = ((hidden**2)*w/2)
        delta = w + hidden
        wt = w + delta
        print(wt.size())
        new_params[name] = wt
        #del loss_net.fc0.weight
        #print(loss_net.fc0.weight)
        #setattr(loss_net.fc0, 'weight', nn.Parameter( wt ))
        #setattr(loss_net.fc0, 'weight', wt)
        #loss_net.fc0.weight = torch.randn(1)
        #loss_net.fc0.weight = nn.Parameter( wt )
    ##
    loss_net.load_state_dict(new_params)
#
print()
print(f'updater_net.fc0.weight.is_leaf = {updater_net.fc0.weight.is_leaf}')
outputs = loss_net(x)
loss_val = 0.5*(target - outputs)**2
loss_val.backward()
print()
print(f'-- params that dont matter if they have gradients --')
print(f'loss_net.grad = {loss_net.fc0.weight.grad}')
print('-- params we want to have gradients --')
print(f'hidden.grad = {hidden.grad}')
print(f'updater_net.fc0.weight.grad = {updater_net.fc0.weight.grad}')
print(f'updater_net.fc0.bias.grad = {updater_net.fc0.bias.grad}')

Hope it helps us…
its current (incorrect) output:
updater_net.fc0.weight.is_leaf = True
i = 0
name = fc0.weight
torch.Size([1, 1])
torch.Size([1])
torch.Size([1, 1])
name = fc0.bias
torch.Size([1])
torch.Size([1])
torch.Size([1])
i = 1
name = fc0.weight
torch.Size([1, 1])
torch.Size([1])
torch.Size([1, 1])
name = fc0.bias
torch.Size([1])
torch.Size([1])
torch.Size([1])

updater_net.fc0.weight.is_leaf = True

-- params that dont matter if they have gradients --
loss_net.grad = tensor([[9.6197]])
-- params we want to have gradients --
hidden.grad = None
updater_net.fc0.weight.grad = None
updater_net.fc0.bias.grad = None