[wip] [Feat] Add DataLoader state_dict to Loop

[tchaton]

What does this PR do?

Fixes #<issue_number>

Does your PR introduce any breaking changes ? If yes, please list them.

Before submitting

• Was this discussed/approved via a GitHub issue? (not for typos and docs)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure your PR does only one thing, instead of bundling different changes together?
• Did you make sure to update the documentation with your changes? (if necessary)
• Did you write any new necessary tests? (not for typos and docs)
• Did you verify new and existing tests pass locally with your changes?
• Did you update the CHANGELOG? (not for typos, docs, test updates, or internal minor changes/refactorings)
• Did you list all the breaking changes introduced by this pull request?

PR review

Anyone in the community is free to review the PR once the tests have passed.
Before you start reviewing make sure you have read Review guidelines. In short, see the following bullet-list:

• Is this pull request ready for review? (if not, please submit in draft mode)
• Check that all items from Before submitting are resolved
• Make sure the title is self-explanatory and the description concisely explains the PR
• Add labels and milestones (and optionally projects) to the PR so it can be classified

Did you have fun?

Make sure you had fun coding 🙃

[stale]

This pull request has been automatically marked as stale because it has not had recent activity. It will be closed in 7 days if no further activity occurs. If you need further help see our docs: https://pytorch-lightning.readthedocs.io/en/latest/generated/CONTRIBUTING.html#pull-request or ask the assistance of a core contributor here or on Slack. Thank you for your contributions.

[awaelchli]

completed in #8950