Fix _copy_to on MKLDNN backend

[ZhennanQin]

Description

Should fix #15555.
@pengzhao-intel @kostayScr

Checklist

Essentials

Please feel free to remove inapplicable items for your PR.

• The PR title starts with [MXNET-$JIRA_ID], where $JIRA_ID refers to the relevant JIRA issue created (except PRs with tiny changes)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage:
• Unit tests are added for small changes to verify correctness (e.g. adding a new operator)
• Nightly tests are added for complicated/long-running ones (e.g. changing distributed kvstore)
• Build tests will be added for build configuration changes (e.g. adding a new build option with NCCL)
• Code is well-documented:
• For user-facing API changes, API doc string has been updated.
• For new C++ functions in header files, their functionalities and arguments are documented.
• For new examples, README.md is added to explain the what the example does, the source of the dataset, expected performance on test set and reference to the original paper if applicable
• Check the API doc at http://mxnet-ci-doc.s3-accelerate.dualstack.amazonaws.com/PR-$PR_ID/$BUILD_ID/index.html
• To the my best knowledge, examples are either not affected by this change, or have been fixed to be compatible with this change

Changes

• Feature1, tests, (and when applicable, API doc)
• Feature2, tests, (and when applicable, API doc)

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[marcoabreu]

test?

[ZhennanQin]

@marcoabreu I really want to have a test for this, but from the bug report #15555 you will know that the test will be quite complicated, and not stable. It's an thread race issue, so even if this test is broken someday, it will look like a flaky test(sometime pass and sometime fail), which doesn't help to capture the trouble PR. If you still want to have that kind of test, I can add the reported case as a test.

[marcoabreu]

Ok, feel free to go ahead.

[pengzhao-intel]

Thanks for your contribution. Merging now.