PREP: migrate ErfGrad to c++ side (#12872)

* ENH: migrate ErfGrad

* TST: add test case for real value

* CLN: add semicolon

* DOC: add comment

* CLN: remove useless dependency

* CLN: remove useless dependency in LgmmaGrad

* TST: move lgamma test case

* TST: add test case for Erf

* TST: complex is unsupported for kernel

* TST: complex64 -> float

* ENH: use grad_scope

* ENH: fix grad_scope for TanhGrad and SigmoidGrad

* ENH: import M_PI