Set `run_name` in MLflowCallback
Author: yangdong02
Pull request: yes

# What does this PR do?

Currently, when using `mlflow` integration to track experiments, runs are being logged as nameless. E.g. see below (image from #8519). This PR is a simple one-line fix of passing `args.run_name` (which is currently used for `wandb`) to `mlflow.start_run`. It also updates the doc of `args.run_name`.

![image](https://user-images.githubusercontent.com/42331224/147215859-511b1730-ff5b-4e75-a6e2-c6cc0617f0a7.png)

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Fixes #8519, #12841


## Before submitting
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## Who can review?

Anyone in the community is free to review the PR once the tests have passed. 

@sgugger

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