Add more information to ZeroSumNormal docs

[ricardoV94]

Description

@aseyboldt gave a nice explanation here that we could probably integrate in the docstrings: pyro-ppl/numpyro#1751 (comment)

[siddharthbaleja7]

Can you please assign this issue to me

[ricardoV94]

Can you please assign this issue to me

We don't usually assign issues. It will be yours when you open a PR and then onwards as long as you're actively working on it