Neptune.ai integration improvements (#18934)

* NeptuneCallback improvements

* After review suggestions and deduplication of initial run

* Added volatile checkpoints support due to missing post-rebase commit

* Update README per review comments

- Remove list formatting
- Correct Neptune docs link

Co-authored-by: Sabine <sabine.nyholm@neptune.ai>

docs/source/en/main_classes/callback.mdx

@@ -32,6 +32,7 @@ By default a [`Trainer`] will use the following callbacks:
 - [`~integrations.WandbCallback`] if [wandb](https://www.wandb.com/) is installed.
 - [`~integrations.CometCallback`] if [comet_ml](https://www.comet.ml/site/) is installed.
 - [`~integrations.MLflowCallback`] if [mlflow](https://www.mlflow.org/) is installed.
+- [`~integrations.NeptuneCallback`] if [neptune](https://neptune.ai/) is installed.
 - [`~integrations.AzureMLCallback`] if [azureml-sdk](https://pypi.org/project/azureml-sdk/) is
   installed.
 - [`~integrations.CodeCarbonCallback`] if [codecarbon](https://pypi.org/project/codecarbon/) is
@@ -70,6 +71,8 @@ Here is the list of the available [`TrainerCallback`] in the library:
 
 [[autodoc]] integrations.CodeCarbonCallback
 
+[[autodoc]] integrations.NeptuneCallback
+
 ## TrainerCallback
 
 [[autodoc]] TrainerCallback