pass shadow closure incase f is a closure

[ArbitRandomUser]

WIP ... will check these later

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

passing closures to enzyme require enzyme to have shadows for captured variables ,
Enzyme.make_zero allows one to do the same.

[ChrisRackauckas]

Yeah the finite differencing error is high. This is the max difference between Calculus and ForwardDiff:

julia> maximum(refdp - refdp2)
5.0608451903078056e-5