Avoid torchelastic warning message when importing lightning

[awaelchli]

What does this PR do?

When importing lightning_lite, pytorch_lightning, or lightning, we get the following warning:

NOTE: Redirects are currently not supported in Windows or MacOs

The message is confusing to the user. There is no action they can take to avoid it.

After this PR, only users that actually use the deepspeed strategy will see this warning.
We created an issue on DeepSpeed's GitHub: microsoft/DeepSpeed#2492

Part of #12786

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Did you have fun?

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cc @Borda

[tchaton]

Oh, thank you !