Better error message on wrong device

[SkafteNicki]

What does this PR do?

Fixes #1055, #1047, #917 (And probably a lot more)
Common mistake by users is not moving the metric object to the same device as the input. I think this already pretty clear from the documentation (and the fact that metrics are just nn.Module which also needs to be moved) but users keep making it. This is a proposed solution that can hopefully catch this mistake.

Before submitting

• Was this discussed/approved via a Github issue? (no need for typos and docs improvements)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure to update the docs?
• Did you write any new necessary tests?

PR review

Anyone in the community is free to review the PR once the tests have passed.
If we didn't discuss your PR in Github issues there's a high chance it will not be merged.

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[codecov]

Codecov Report

Merging #1056 (86633e0) into master (1cc90c6) will decrease coverage by 0%.
The diff coverage is 83%.

@@          Coverage Diff           @@
##           master   #1056   +/-   ##
======================================
- Coverage      95%     95%   -0%     
======================================
  Files         181     181           
  Lines        8046    8051    +5     
======================================
- Hits         7615    7614    -1     
- Misses        431     437    +6