[CI] Add non-eager test-case for SharedStorageConnector

[NickLucche]

I realized when we merged this fix #28253 we haven't actually added a test case to our suite (the referred issue required manual edits, hence it's not really tracked in CI).
This PR adds a test-case for that.

[gemini-code-assist]

Code Review

The pull request introduces a non-eager test case for SharedStorageConnector by refactoring the existing test structure. The use of pytest fixtures to manage test setup is a good improvement for maintainability and performance. However, I've identified a critical issue with a session-scoped fixture that could lead to test flakiness due to state leakage. Additionally, I've suggested a refactoring to eliminate code duplication between the newly introduced test functions.

[chatgpt-codex-connector]

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[NickLucche]

Currently leading to OOM : torch.OutOfMemoryError: CUDA out of memory, will play around with test config