Fix horovod tests that try to access filepath on global rank > 0
🐛 Bug
We had to skip two tests in #2425, namely

test_horovod_cpu
test_horovod_cpu_implicit

Problem is that since they run in ddp and the test tries to access the trainer internal variable for the checkpoint path, it gets a NoneType error when trying to os.join() None paths.
To Reproduce
Steps to reproduce the behavior:
Run these two tests:

test_horovod_cpu
test_horovod_cpu_implicit