[megatron,ci] chore: update instructions and scripts for LoRA

[HollowMan6]

What does this PR do?

Now that several important fixes have been merged into Megatron-Bridge, it's better to update the instructions so that everything can really work correctly.

Related to:

• [MoE LoRA] fix: Optimizer checkpointing shape mismatch NVIDIA-NeMo/Megatron-Bridge#1564
• [LoRA] Fix LoRA merge and support CanonicalLoRA merge NVIDIA-NeMo/Megatron-Bridge#1603
• [Canonical LoRA] fix: use correct q_out_features for linear_q NVIDIA-NeMo/Megatron-Bridge#1627
• [Canonical LoRA] fix: forward under expert layers NVIDIA-NeMo/Megatron-Bridge#1628

Fix: #4303

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Code Review

This pull request updates instructions and scripts for LoRA training with Megatron. The changes mostly involve updating comments and LoRA configuration parameters in example shell scripts. However, I found a critical issue in run_qwen2-7b_math_megatron_lora.sh where new lines were added with a leading + character, likely from a copy-paste error from a diff. This will cause the script to fail. I've provided a code suggestion to fix this.

[wuxibin89]

@HollowMan6 Our LoRA document is quit outdated and only cover fsdp, could you help updating it to cover both fsdp and megatron? https://verl.readthedocs.io/en/latest/advance/ppo_lora.html#

[HollowMan6]

@HollowMan6 Our LoRA document is quit outdated and only cover fsdp, could you help updating it to cover both fsdp and megatron? https://verl.readthedocs.io/en/latest/advance/ppo_lora.html#

Sure, I'll look into this