Fix CloudpickleWrapper load-save asymmetry (#935)

* Fix CloudpickleWrapper load-save asymmetry

CloudpickleWrapper loads using `pickle.loads`, and saves using `cloudpickle.dumps`. Using this codepath would lead to protocol error before this commit, since `pickle.loads` can't read `cloudpickle.dumps`.

* Update changelog

* Update changelog.rst

Co-authored-by: Anssi <kaneran21@hotmail.com>

docs/misc/changelog.rst

@@ -36,6 +36,7 @@ Bug Fixes:
 - Fixed a bug ``callback.locals`` did not have the correct values (@PartiallyTyped)
 - Fixed a bug in the ``close()`` method of ``SubprocVecEnv``, causing wrappers further down in the wrapper stack to not be closed. (@NeoExtended)
 - Fixed a bug in the ``generate_expert_traj()`` method in ``record_expert.py`` when using a non-image vectorized environment (@jbarsce)
+- Fixed a bug in CloudPickleWrapper's (used by VecEnvs) ``__setstate___`` where loading was incorrectly using ``pickle.loads`` (@shwang).
 
 
 Deprecations:
@@ -716,4 +717,4 @@ Thanks to @bjmuld @iambenzo @iandanforth @r7vme @brendenpetersen @huvar @abhiskk
 @Miffyli @dwiel @miguelrass @qxcv @jaberkow @eavelardev @ruifeng96150 @pedrohbtp @srivatsankrishnan @evilsocket
 @MarvineGothic @jdossgollin @SyllogismRXS @rusu24edward @jbulow @Antymon @seheevic @justinkterry @edbeeching
 @flodorner @KuKuXia @NeoExtended @PartiallyTyped @mmcenta @richardwu @tirafesi @caburu @johannes-dornheim @kvenkman @aakash94
-@enderdead @hardmaru @jbarsce @ColinLeongUDRI
+@enderdead @hardmaru @jbarsce @ColinLeongUDRI @shwang

stable_baselines/common/vec_env/base_vec_env.py

@@ -331,4 +331,4 @@ def __getstate__(self):
         return cloudpickle.dumps(self.var)
 
     def __setstate__(self, obs):
-        self.var = pickle.loads(obs)
+        self.var = cloudpickle.loads(obs)