[CLI] Fix SaveConfigCallback with DDP spawn

[carmocca]

What does this PR do?

The CLI argument parser is now pickleable.

Closes #11987

The bug is unreleased, so targeting 1.6

Does your PR introduce any breaking changes? If yes, please list them.

None

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cc @Borda @carmocca @mauvilsa

[mauvilsa]

@carmocca jsonargparse v4.3.0 has just been released.

[tchaton]

LGTM !