Re-enable setting state dict type

[muellerzr]

What does this PR do?

0.34.0 removed the ability to set the state_dict_type on the fly, which I had assumed was fine, however I wasn't aware that users typically will:

• Use SHARDED_STATE_DICT for checkpoints
• Use FULL_STATE_DICT for the final model

As a result, brings it back and documents the desired behavior

Fixes #3072

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@SunMarc

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[SunMarc]

Nice ! Thanks !