docs: clarify closure usage in gan example

[awaelchli]

What does this PR do?

Fixes #7337

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[codecov]

Codecov Report

Merging #8521 (98ffcec) into master (20fc8cf) will decrease coverage by 4%.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master   #8521    +/-   ##
=======================================
- Coverage      92%     88%    -4%     
=======================================
  Files         218     218            
  Lines       14397   14389     -8     
=======================================
- Hits        13286   12669   -617     
- Misses       1111    1720   +609     

[tchaton]

LGTM !