Fixes for trainer with update_on_kvstore=False

[eric-haibin-lin]

Description

Explicitly throw warning message on unsupported cases where update_on_kvstore is set to False. Previously, self._update_on_kvstore would be silently set to True even user constructed Trainer with update_on_kvstore=False.

Checklist

Essentials

Please feel free to remove inapplicable items for your PR.

• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage:
• Unit tests are added for small changes to verify correctness (e.g. adding a new operator)
• Nightly tests are added for complicated/long-running ones (e.g. changing distributed kvstore)
• Build tests will be added for build configuration changes (e.g. adding a new build option with NCCL)
• Code is well-documented:
• For user-facing API changes, API doc string has been updated.
• For new C++ functions in header files, their functionalities and arguments are documented.
• For new examples, README.md is added to explain the what the example does, the source of the dataset, expected performance on test set and reference to the original paper if applicable
• Check the API doc at http:https://mxnet-ci-doc.s3-accelerate.dualstack.amazonaws.com/PR-$PR_ID/$BUILD_ID/index.html
• To the my best knowledge, examples are either not affected by this change, or have been fixed to be compatible with this change

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[szha]

Code change LGTM. Be sure to check that the open comment is addressed before merging.

[sandeep-krishnamurthy]

Thanks. LGTM