See recent CI, which spews the following:

23:49:53 test_anomaly_detect_nan (main.TestAutograd) ... No forward pass information available.
23:49:53 Enable detect anomaly during forward pass for more informations.
23:49:53 No forward pass information available.
23:49:53 Enable detect anomaly during forward pass for more informations.
23:49:53 test_autograd.py:2328: DeprecationWarning: Please use assertRaisesRegex instead.
23:49:53 with self.assertRaisesRegexp(RuntimeError, "Function 'MyFuncBackward' returned nan values in its 0th output."):
23:49:53 ok

cc @mruberry @VitalyFedyunin @walterddr