Add label names to roc curve plots

[randombenj]

What does this PR do?

Adds the ability to display which class the plotted roc curves belong to.

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After:

Before submitting

• Was this discussed/agreed via a Github issue? (no need for typos and docs improvements)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure to update the docs?
• Did you write any new necessary tests?

PR review

Anyone in the community is free to review the PR once the tests have passed.
If we didn't discuss your PR in Github issues there's a high chance it will not be merged.

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📚 Documentation preview 📚: https://torchmetrics--2511.org.readthedocs.build/en/2511/

[codecov]

Codecov Report

Merging #2511 (bd3baae) into master (cd7ccfc) will decrease coverage by 0%.
The diff coverage is 0%.

Additional details and impacted files

@@          Coverage Diff           @@
##           master   #2511   +/-   ##
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- Coverage      69%     69%   -0%     
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  Files         307     307           
  Lines       17424   17427    +3     
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  Hits        11998   11998           
- Misses       5426    5429    +3