distance_to_set for PSD constraint

[blegat]

I thought that #2314 added all the distances of https://github.com/matbesancon/MathOptSetDistances.jl but it is missing https://github.com/matbesancon/MathOptSetDistances.jl/blob/master/src/distance_sets.jl#L276-L287
Was there any reason not to include it ?
Checking the distance to the PSD set can be used to check if the dual solution of SDPLR is feasible and hence if SDPLR found the optimal solution. See

• Add solution inspection to example blegat/LowRankOpt.jl#24
• https://github.com/jump-dev/SDPLR.jl?tab=readme-ov-file#example-modifying-the-rank-and-checking-optimality

[odow]

I think the motivation was that it could be expensive for large cones. But it seems reasonable to add.