Fix cornercase for PearsonCorrCoef

[SkafteNicki]

What does this PR do?

Fixes #1559
Fix a corner case where PearsonCorrCoef is evaluated in ddp mode, num_output > 1 but with only a single device.
Added test that the function that needs to do the reduction correctly evaluate different combinations.

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• Did you make sure to update the docs?
• Did you write any new necessary tests?

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[codecov]

Codecov Report

Merging #1587 (deabc7c) into master (7f01332) will decrease coverage by 50%.
The diff coverage is 100%.

Additional details and impacted files

@@           Coverage Diff            @@
##           master   #1587     +/-   ##
========================================
- Coverage      88%     39%    -50%     
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  Files         225     225             
  Lines       11860   11862      +2     
========================================
- Hits        10466    4590   -5876     
- Misses       1394    7272   +5878