Error when disabling an optimizer with native AMP turned on
🐛 Bug
When running my Lightning code with:

fp16 native AMP
Multiple optimizers
One of the optimizers disabled (in this case by returning None for it in training_step)

I'm getting the following stacktrace:
Traceback (most recent call last):
  File "./train_stage1.py", line 353, in <module>
    trainer.fit(model)
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/trainer/trainer.py", line 440, in fit
    results = self.accelerator_backend.train()
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/accelerators/gpu_accelerator.py", line 54, in train
    results = self.train_or_test()
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/accelerators/accelerator.py", line 68, in train_or_test
    results = self.trainer.train()
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/trainer/trainer.py", line 485, in train
    self.train_loop.run_training_epoch()
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/trainer/training_loop.py", line 544, in run_training_epoch
    batch_output = self.run_training_batch(batch, batch_idx, dataloader_idx)
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/trainer/training_loop.py", line 713, in run_training_batch
    self.optimizer_step(optimizer, opt_idx, batch_idx, train_step_and_backward_closure)
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/trainer/training_loop.py", line 453, in optimizer_step
    optimizer, batch_idx, opt_idx, train_step_and_backward_closure
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/accelerators/accelerator.py", line 122, in optimizer_step
    using_lbfgs=is_lbfgs
  File "/home/wj359634/venv/lib64/python3.6/site-packages/pytorch_lightning/core/lightning.py", line 1209, in optimizer_step
    self.trainer.scaler.step(optimizer)
  File "/home/wj359634/venv/lib64/python3.6/site-packages/torch/cuda/amp/grad_scaler.py", line 318, in step
    assert len(optimizer_state["found_inf_per_device"]) > 0, "No inf checks were recorded for this optimizer."
AssertionError: No inf checks were recorded for this optimizer.
Exception ignored in: <object repr() failed>
Traceback (most recent call last):
  File "/home/wj359634/venv/lib64/python3.6/site-packages/tqdm/std.py", line 1086, in __del__
  File "/home/wj359634/venv/lib64/python3.6/site-packages/tqdm/std.py", line 1293, in close
  File "/home/wj359634/venv/lib64/python3.6/site-packages/tqdm/std.py", line 1471, in display
  File "/home/wj359634/venv/lib64/python3.6/site-packages/tqdm/std.py", line 1089, in __repr__
  File "/home/wj359634/venv/lib64/python3.6/site-packages/tqdm/std.py", line 1433, in format_dict
TypeError: 'NoneType' object is not iterable

To Reproduce
(I'm hoping those are all conditions that have to be met)
Run a Lightning model with

fp16 native AMP
Multiple optimizers
One of the optimizers disabled (in this case by returning None for it in training_step)

Expected behavior
The code should skip this optimizer
Environment
* CUDA:
        - GPU:
                - Tesla V100-PCIE-32GB
        - available:         True
        - version:           10.2
* Packages:
        - numpy:             1.18.4
        - pyTorch_debug:     True
        - pyTorch_version:   1.7.0
        - pytorch-lightning: 1.0.4
        - tqdm:              4.46.0
* System:
        - OS:                Linux
        - architecture:
                - 64bit
                - ELF
        - processor:         x86_64
        - python:            3.6.8
        - version:           #1 SMP Tue Aug 25 17:23:54 UTC 2020

Additional context