Default process group is not initialized in setup() function
🐛 Bug

Default process group is not initialized in Datamodule setup() function.
This is a BC breaking with PL >= 1.2.0
With, PL == 1.1.8 this code works.
Reproduce notebook: https://colab.research.google.com/drive/1AHadRi0Bly9OnzrJFv8XmS2T9Y5zklvg?usp=sharing
Expected behavior
fit() should be work.
Environment
* CUDA:
	- GPU:
		- Tesla T4
	- available:         True
	- version:           10.1
* Packages:
	- numpy:             1.19.5
	- pyTorch_debug:     False
	- pyTorch_version:   1.7.1+cu101
	- pytorch-lightning: 1.2.1
	- tqdm:              4.41.1
* System:
	- OS:                Linux
	- architecture:
		- 64bit
		- 
	- processor:         x86_64
	- python:            3.7.10
	- version:           #1 SMP Thu Jul 23 08:00:38 PDT 2020