DataLoader with collate_fn that returns tensors in GPU memory raises warnings when deleted
Labels: module: dataloader, triaged

### 🐛 Describe the bug

I defined a `DataLoader` with `collate_fn` that returns tensors in GPU memory, with `num_workers=1` and `prefetch_factor=2` so that as I iterate through the `DataLoader`, the tensors it returns are already in GPU memory. When the `DataLoader` is deleted, a lot of warnings are raised from [`CUDAGuardImpl.h`](https://github.com/pytorch/pytorch/blob/master/c10/cuda/impl/CUDAGuardImpl.h). For example:

```python
import torch
import torchvision

def collate_gpu(batch):
    x, t = torch.utils.data.default_collate(batch)
    return x.to(device=0), t.to(device=0)

train_dataset = torchvision.datasets.MNIST(
    './data',
    train=True,
    download=True,
    transform=torchvision.transforms.ToTensor(),
)
train_loader = torch.utils.data.DataLoader(
    dataset=train_dataset,
    batch_size=100,
    num_workers=1,
    prefetch_factor=2,
    persistent_workers=True,
    collate_fn=collate_gpu,
)

if __name__ == "__main__":
    x, t = next(iter(train_loader))
    print("About to call `del train_loader`...")
    del train_loader
    print("Finished `del train_loader`")
```

Console output:

```
About to call `del train_loader`...
[W C:\actions-runner\_work\pytorch\pytorch\builder\windows\pytorch\torch\csrc\CudaIPCTypes.cpp:15] Producer process has been terminated before all shared CUDA tensors released. See Note [Sharing CUDA tensors]
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: driver shutting down (function uncheckedSetDevice)
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: invalid device ordinal (function uncheckedSetDevice)
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: invalid device ordinal (function uncheckedSetDevice)
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: invalid device ordinal (function uncheckedSetDevice)
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: invalid device ordinal (function uncheckedSetDevice)
[W CUDAGuardImpl.h:46] Warning: CUDA warning: driver shutting down (function uncheckedGetDevice)
[W CUDAGuardImpl.h:62] Warning: CUDA warning: invalid device ordinal (function uncheckedSetDevice)
Finished `del train_loader`
```

In reality I don't call `del train_loader`, but I initialise `train_loader` inside a function, and when the function exits, the result is the same. (Weirdly, if I don't call `del train_loader` and `train_loader` is not defined inside a function, then there are no warning messages at all).

PS am I being silly? I would have assumed it would be a very common use case to want to pre-fetch data in GPU memory with a DataLoader rather than waiting in the main process for data to be copied to the GPU, but I can't seem to find many posts on this topic at all (one example is [this thread](https://discuss.pytorch.org/t/moving-data-to-gpu-in-collate-fn-fails/49021), but it's 4 years old and the error message is different)

### Versions

Versions/OS:
Python 3.7.6
Cuda 11.7
PyTorch 1.13.0+cu117
Windows 10

(sorry I don't fancy running a >600 line Python script downloaded from the internet, regardless of the author)

cc @SsnL @VitalyFedyunin @ejguan @NivekT @dzhulgakov