Lux is currently very strict with ForwardDiff:
ForwardDiff = "0.10.36, =1"
which keeps ForwardDiff back a lot in some package combination. Bijectors, for example, has
ForwardDiff = "0.10, 1.0.1"
so when installing both Lux and Bijectors, one currently ends up with ForwardDiff v0.10.36.