feat: pass parameter gradients from getindex

[DhairyaLGandhi]

UDEs and more generally, for AD getting gradients passed via Tangents is best practice. Due to the number of custom adjoints and rules, we end up with silently dropped gradients from various spots. This is a step in continuation of #701

Checklist

• Appropriate tests were added
• Any code changes were done in a way that does not break public API
• All documentation related to code changes were updated
• The new code follows the
  contributor guidelines, in particular the SciML Style Guide and
  COLPRAC.
• Any new documentation only uses public API

Additional context

Add any other context about the problem here.

[DhairyaLGandhi]

I've run formatting for the files in the PR, the one failing is test/downstream/initialization.jl. Lmk if I should add a format commit for that one as well.

[DhairyaLGandhi]

pinging for a review @ChrisRackauckas

[DhairyaLGandhi]

Unsure what is going on with the Core tests, it seems to fail to precompile Plots.jl, but that seems unrelated to the PR. cc @AayushSabharwal for a review as well

[ChrisRackauckas]

That's on the Julia pre-release v1.12-beta2. Ignore those.