More Reverse Dependency Integration Test

[oxinabox]

We should have reverse dependency intregration tests on thigns that have a dependency (including test time)
on ChainRulesTestUtils.

Adding more of these should not be hard because it should basically be copying what we already have.
Perhaps smartly using a matrix

Us not chatching JuliaArrays/BlockDiagonals.jl#49 until nightly ran, when we could have avoided it in #57 is not great.
(Though can't deny that Nightly build is given value there)

[oxinabox]

This also had us miss JuliaMath/SpecialFunctions.jl#288 (comment)