MLFlow logger with remote tracking fails with CLI

Bug description

Running with the LightningCLI, MLflow logger, and MLFLOW_TRACKING_URI environment variable set causes an assertion failure with logging. I think using a remote tracking server causes no local log files to be created which the CLI doesn't like.

I suspect it's a similar issue to #12748.

How to reproduce the bug

from pytorch_lightning.cli import LightningCLI
from helpers import BoringModel, BoringDataModule

cli = LightningCLI(
    BoringModel, 
    BoringDataModule, 
    trainer_defaults=dict(
        max_epochs=1,
        logger="pytorch_lightning.loggers.MLFlowLogger"
    )
)

$ mlflow server
...
$ MLFLOW_TRACKING_URI=http://localhost:5000 python main.py fit

Error messages and logs

/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/configuration_validator.py:106: UserWarning: You passed in a `val_dataloader` but have no `validation_step`. Skipping val loop.
  rank_zero_warn("You passed in a `val_dataloader` but have no `validation_step`. Skipping val loop.")
Traceback (most recent call last):
  File "/workspaces/mlflow_log_error/main.py", line 4, in <module>
    cli = LightningCLI(
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/cli.py", line 354, in __init__
    self._run_subcommand(self.subcommand)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/cli.py", line 665, in _run_subcommand
    fn(**fn_kwargs)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/trainer.py", line 603, in fit
    call._call_and_handle_interrupt(
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/call.py", line 38, in _call_and_handle_interrupt
    return trainer_fn(*args, **kwargs)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/trainer.py", line 645, in _fit_impl
    self._run(model, ckpt_path=self.ckpt_path)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/trainer.py", line 1037, in _run
    self._call_setup_hook()  # allow user to setup lightning_module in accelerator environment
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/trainer.py", line 1285, in _call_setup_hook
    self._call_callback_hooks("setup", stage=fn)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/trainer/trainer.py", line 1380, in _call_callback_hooks
    fn(self, self.lightning_module, *args, **kwargs)
  File "/home/vscode/.local/lib/python3.10/site-packages/pytorch_lightning/cli.py", line 216, in setup
    assert log_dir is not None
AssertionError

Environment

* CUDA:
        - GPU:               None
        - available:         False
        - version:           11.7
* Lightning:
        - lightning:         1.9.0rc0
        - lightning-cloud:   0.5.16
        - lightning-utilities: 0.5.0
        - pytorch-lightning: 1.8.6
        - torch:             1.13.1
        - torchmetrics:      0.11.0
        - torchvision:       0.14.1
* Packages:
        - aiohttp:           3.8.3
        - aiosignal:         1.3.1
        - alembic:           1.9.1
        - antlr4-python3-runtime: 4.9.3
        - anyio:             3.6.2
        - argon2-cffi:       21.3.0
        - argon2-cffi-bindings: 21.2.0
        - arrow:             1.2.3
        - asttokens:         2.2.1
        - async-timeout:     4.0.2
        - attrs:             22.2.0
        - babel:             2.11.0
        - backcall:          0.2.0
        - beautifulsoup4:    4.11.1
        - bleach:            5.0.1
        - blessed:           1.19.1
        - build:             0.9.0
        - certifi:           2022.12.7
        - cffi:              1.15.1
        - charset-normalizer: 2.1.1
        - click:             8.1.3
        - cloudpickle:       2.2.0
        - comm:              0.1.2
        - commonmark:        0.9.1
        - contourpy:         1.0.6
        - croniter:          1.3.8
        - cycler:            0.11.0
        - databricks-cli:    0.17.4
        - dateutils:         0.6.12
        - debugpy:           1.6.5
        - decorator:         5.1.1
        - deepdiff:          6.2.3
        - defusedxml:        0.7.1
        - dnspython:         2.2.1
        - docker:            6.0.1
        - docstring-parser:  0.15
        - email-validator:   1.3.0
        - entrypoints:       0.4
        - executing:         1.2.0
        - fastapi:           0.88.0
        - fastjsonschema:    2.16.2
        - flask:             2.2.2
        - fonttools:         4.38.0
        - fqdn:              1.5.1
        - frozenlist:        1.3.3
        - fsspec:            2022.11.0
        - gitdb:             4.0.10
        - gitpython:         3.1.30
        - greenlet:          2.0.1
        - gunicorn:          20.1.0
        - h11:               0.14.0
        - httpcore:          0.16.3
        - httptools:         0.5.0
        - httpx:             0.23.3
        - hydra-core:        1.3.1
        - idna:              3.4
        - importlib-metadata: 5.2.0
        - importlib-resources: 5.10.2
        - inquirer:          3.1.2
        - ipykernel:         6.20.1
        - ipython:           8.8.0
        - ipython-genutils:  0.2.0
        - isoduration:       20.11.0
        - itsdangerous:      2.1.2
        - jedi:              0.18.2
        - jinja2:            3.1.2
        - joblib:            1.2.0
        - json5:             0.9.11
        - jsonargparse:      4.19.0
        - jsonpointer:       2.3
        - jsonschema:        4.17.3
        - jupyter-client:    7.4.8
        - jupyter-core:      5.1.3
        - jupyter-events:    0.6.0
        - jupyter-server:    2.0.6
        - jupyter-server-terminals: 0.4.4
        - jupyterlab:        3.5.2
        - jupyterlab-pygments: 0.2.2
        - jupyterlab-server: 2.18.0
        - kiwisolver:        1.4.4
        - lightning:         1.9.0rc0
        - lightning-cloud:   0.5.16
        - lightning-utilities: 0.5.0
        - llvmlite:          0.39.1
        - mako:              1.2.4
        - markdown:          3.4.1
        - markupsafe:        2.1.1
        - matplotlib:        3.6.2
        - matplotlib-inline: 0.1.6
        - mistune:           2.0.4
        - mlflow:            2.1.1
        - multidict:         6.0.4
        - nbclassic:         0.4.8
        - nbclient:          0.7.2
        - nbconvert:         7.2.7
        - nbformat:          5.7.1
        - nest-asyncio:      1.5.6
        - notebook:          6.5.2
        - notebook-shim:     0.2.2
        - numba:             0.56.4
        - numpy:             1.23.5
        - nvidia-cublas-cu11: 11.10.3.66
        - nvidia-cuda-nvrtc-cu11: 11.7.99
        - nvidia-cuda-runtime-cu11: 11.7.99
        - nvidia-cudnn-cu11: 8.5.0.96
        - oauthlib:          3.2.2
        - omegaconf:         2.3.0
        - ordered-set:       4.1.0
        - orjson:            3.8.4
        - packaging:         21.3
        - pandas:            1.5.2
        - pandocfilters:     1.5.0
        - parso:             0.8.3
        - pep517:            0.13.0
        - pexpect:           4.8.0
        - pickleshare:       0.7.5
        - pillow:            9.4.0
        - pip:               22.3.1
        - pip-tools:         6.12.1
        - platformdirs:      2.6.2
        - prometheus-client: 0.15.0
        - prompt-toolkit:    3.0.36
        - protobuf:          3.20.1
        - psutil:            5.9.4
        - ptyprocess:        0.7.0
        - pure-eval:         0.2.2
        - pyarrow:           10.0.1
        - pycparser:         2.21
        - pydantic:          1.10.4
        - pygments:          2.14.0
        - pyjwt:             2.6.0
        - pyparsing:         3.0.9
        - pyrsistent:        0.19.3
        - python-dateutil:   2.8.2
        - python-dotenv:     0.21.0
        - python-editor:     1.0.4
        - python-json-logger: 2.0.4
        - python-multipart:  0.0.5
        - pytorch-lightning: 1.8.6
        - pytz:              2022.7
        - pyyaml:            6.0
        - pyzmq:             24.0.1
        - querystring-parser: 1.2.4
        - readchar:          4.0.3
        - requests:          2.28.1
        - rfc3339-validator: 0.1.4
        - rfc3986:           1.5.0
        - rfc3986-validator: 0.1.1
        - rich:              13.0.1
        - scikit-learn:      1.2.0
        - scipy:             1.10.0
        - send2trash:        1.8.0
        - setuptools:        65.5.0
        - shap:              0.41.0
        - six:               1.16.0
        - slicer:            0.0.7
        - smmap:             5.0.0
        - sniffio:           1.3.0
        - soupsieve:         2.3.2.post1
        - sqlalchemy:        1.4.46
        - sqlparse:          0.4.3
        - stack-data:        0.6.2
        - starlette:         0.22.0
        - starsessions:      1.3.0
        - tabulate:          0.9.0
        - tensorboardx:      2.5.1
        - terminado:         0.17.1
        - threadpoolctl:     3.1.0
        - tinycss2:          1.2.1
        - tomli:             2.0.1
        - torch:             1.13.1
        - torchmetrics:      0.11.0
        - torchvision:       0.14.1
        - tornado:           6.2
        - tqdm:              4.64.1
        - traitlets:         5.8.1
        - typeshed-client:   2.1.0
        - typing-extensions: 4.4.0
        - ujson:             5.7.0
        - uri-template:      1.2.0
        - urllib3:           1.26.13
        - uvicorn:           0.20.0
        - uvloop:            0.17.0
        - watchfiles:        0.18.1
        - wcwidth:           0.2.5
        - webcolors:         1.12
        - webencodings:      0.5.1
        - websocket-client:  1.4.2
        - websockets:        10.4
        - werkzeug:          2.2.2
        - wheel:             0.38.4
        - yarl:              1.8.2
        - zipp:              3.11.0
* System:
        - OS:                Linux
        - architecture:
                - 64bit
                - ELF
        - processor:         
        - python:            3.10.9
        - version:           #1 SMP Wed Mar 2 00:30:59 UTC 2022

More info

No response

cc @carmocca @mauvilsa