Remove duplicate callbacks in ForwardDiff and ReverseDiff adjoints

[jClugstor]

Checklist

• Appropriate tests were added
• Any code changes were done in a way that does not break public API
• All documentation related to code changes were updated
• The new code follows the
  contributor guidelines, in particular the SciML Style Guide and
  COLPRAC.
• Any new documentation only uses public API

Additional context

Fixes #1081

In some of the Adjoint methods, if a problem that was constructed with a callback is passed to it, the callback was being called twice. This because the kwargs argument already contains the callback that was passed to the problem constructor. So when the problem is solved, it uses the callback in the problem itself, and the callback passed to the solve, effectively doing the same callback operation twice.

This PR just makes it so that only the callback in the kwargs is used.

[ChrisRackauckas]

Needs tests, make the problem from the issue into a test case.

[ChrisRackauckas]

Also handle ReverseDiffAdjoint() and TrackerAdjoint as mentioned in the issue.

[jClugstor]

It errors out when using ReverseDiffAdjoint or TrackerAdjoint, since the callback tries to mutate the parameter array.

[ChrisRackauckas]

Make some @test_broken and comment in the original issue. Maybe test another callback that doesn't require mutating?

[jClugstor]

Turns out TrackerAdjoint had the same problem.
I made the tests check that the callbacks are called the same number of times, which is the root of the issue.

[ChrisRackauckas]

and loop through some adjoint methods too, all sensealgs is best

[ChrisRackauckas]

Except ZygoteAdjoint

[jClugstor]

ZygoteAdjoint() and GaussAdjoint() error out, besides those I've included all the rest that support callbacks

[ChrisRackauckas]

For the ones that error, label them as @test_broken.

Gauss adjoint with callbacks is currently on the critical Todo.