Fix save_hyperparameters when no parameters need saving

[awaelchli]

What does this PR do?

Fixes #11825

The newly added test cases both fail on master.

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

No.

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 list all the breaking changes introduced by this pull request?
• Did you update the CHANGELOG? (not for typos, docs, test updates, or internal minor changes/refactorings)

PR review

Anyone in the community is welcome to review the PR.
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 🙃

cc @carmocca @justusschock @awaelchli @Borda @ananthsub @ninginthecloud @jjenniferdai @rohitgr7

[tchaton]

LGTM !

[codecov]

Codecov Report

Merging #11827 (dbc3e8a) into master (1e36cff) will decrease coverage by 4%.
The diff coverage is 100%.

@@           Coverage Diff            @@
##           master   #11827    +/-   ##
========================================
- Coverage      92%      88%    -4%     
========================================
  Files         198      198            
  Lines       17321    17319     -2     
========================================
- Hits        15852    15180   -672     
- Misses       1469     2139   +670