[Feature Request] Checkpoints in local mode

[austinmw]

Describe the feature you'd like
Is there any possibility that a way could be found to enable checkpoint_s3_uri in local mode?

sagemaker-python-sdk/src/sagemaker/estimator.py

Line 1897 in 5b8eb10

raise ValueError("Setting checkpoint_s3_uri is not supported in local mode.")

How would this feature be used? Please describe.
Realtime streaming to S3 of selected files would add a useful feature to local mode by itself, but it would also enable using local mode as a debugging environment when setting up checkpointing, since currently the iteration speed of doing this is not ideal.

Describe alternatives you've considered
I'm not aware of any good alternatives

Additional context
Maybe this feature would require the additional input of region?

[akrishna1995]

We have added your feature request to our backlog of feature requests and may consider putting it into future SDK versions. I will go ahead and close the issue now, please let me know if you have any more feedback.