[ENH] Improve the coverage of test framework  for `ptf-v2`

Currently we have just [one data scenario](https://github.com/sktime/pytorch-forecasting/blob/c4f5aac341082c56951bed2f352dc3bf6087ce35/pytorch_forecasting/tests/_data_scenarios.py#L86-L271) for test framework of `ptf-v2`. We should add more data scenarios and test scenarios and improve the test coverage


