add safe globals to documentation

[dimapihtar]

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What does this PR do ?

1. Adds safe globals information to the checkpointing documentation.
2. Removes zarr information from the checkpointing documentation since zarr was fully removed from Megatron Core.

Collection: [Note which collection this PR will affect]

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• New Feature
• Bugfix
• Documentation

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[github-actions]

[🤖]: Hi @dimapihtar 👋,

We wanted to let you know that a CICD pipeline for this PR just finished successfully.

So it might be time to merge this PR or get some approvals.

//cc @chtruong814 @ko3n1g @pablo-garay @thomasdhc