[Tests] Add some tests for the principle of connected pipelines as introduced

[patrickvonplaten]

connected pipelines were introduced in this PR: #4207 . We have neither added good documentation, nor good tests for this yet.

It would be great if someone could take care of this.
In terms of tests we should both test:

• that dummy pipelines that have the self._load_connected_pipes set to True behave as expected
• test that passing load_connected_pipeline to DiffusionPipeline.from_pretrained(...) behaves as expected

Maybe cc @DN6 or @yiyixuxu

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[patrickvonplaten]

We still need tests here. They should take too long to write - @DN6 do you want to give this a try or should I go ahead?

[DN6]

@patrickvonplaten Would take me a little time to get up to speed on this. If you could add the tests, I'm happy to review them.