Add on_exception to DataModule

[clumsy]

What does this PR do?

Adds on_exception callback that lets us handle training termination due to an exception for LightningDataModule, which is currently not available.

Fixes #19594

The change is backward-compatible, but could be breaking if a type derived from LightningDataModule defines on_exception method.

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📚 Documentation preview 📚: https://pytorch-lightning--19601.org.readthedocs.build/en/19601/

[clumsy]

Please let me know if additional changes are necessary, @awaelchli

[awaelchli]

Hey @clumsy

The implementation looks good! Thanks for adding the test.

[codecov]

Codecov Report

Merging #19601 (cfcb55e) into master (6cfc590) will decrease coverage by 31%.
The diff coverage is 100%.

Additional details and impacted files

@@            Coverage Diff             @@
##           master   #19601      +/-   ##
==========================================
- Coverage      84%      53%     -31%     
==========================================
  Files         424      416       -8     
  Lines       34910    34759     -151     
==========================================
- Hits        29340    18438   -10902     
- Misses       5570    16321   +10751