Title: Missing state.json when creating a cloud dataset using a dataset_builder
State: open

### Describe the bug

Using `load_dataset_builder` to create a builder, run `download_and_prepare` do upload it to S3. However when trying to load it, there are missing `state.json` files. Complete example:

```python
from aiobotocore.session import AioSession as Session
from datasets import load_from_disk, load_datase, load_dataset_builder
import s3fs

storage_options = {"session": Session()}
fs = s3fs.S3FileSystem(**storage_options)

output_dir = "s3://bucket/imdb"
builder = load_dataset_builder("imdb")
builder.download_and_prepare(output_dir, storage_options=storage_options)

load_from_disk(output_dir, fs=fs)  # ERROR
# [Errno 2] No such file or directory: '/tmp/tmpy22yys8o/bucket/imdb/state.json'
```

As a comparison, if you use the non lazy `load_dataset`, it works and the S3 folder has different structure + state.json files. Example:
```python
from aiobotocore.session import AioSession as Session
from datasets import load_from_disk, load_dataset, load_dataset_builder
import s3fs

storage_options = {"session": Session()}
fs = s3fs.S3FileSystem(**storage_options)

output_dir = "s3://bucket/imdb"
dataset = load_dataset("imdb",)
dataset.save_to_disk(output_dir, fs=fs)

load_from_disk(output_dir, fs=fs)  # WORKS
```

You still want the 1st option for the laziness and the parquet conversion. Thanks!

### Steps to reproduce the bug

```python
from aiobotocore.session import AioSession as Session
from datasets import load_from_disk, load_datase, load_dataset_builder
import s3fs

storage_options = {"session": Session()}
fs = s3fs.S3FileSystem(**storage_options)

output_dir = "s3://bucket/imdb"
builder = load_dataset_builder("imdb")
builder.download_and_prepare(output_dir, storage_options=storage_options)

load_from_disk(output_dir, fs=fs)  # ERROR
# [Errno 2] No such file or directory: '/tmp/tmpy22yys8o/bucket/imdb/state.json'
```


BTW, you need the AioSession as s3fs is now based on aiobotocore, see https://github.com/fsspec/s3fs/issues/385. 

### Expected behavior

Expected to be able to load the dataset from S3. 

### Environment info

```
s3fs               2022.11.0
s3transfer         0.6.0
datasets           2.8.0
aiobotocore        2.4.2
boto3              1.24.59
botocore           1.27.59
```
python 3.7.15.

Comments:
`load_from_disk` must be used on datasets saved using `save_to_disk`: they correspond to fully serialized datasets including their state.

On the other hand, `download_and_prepare` just downloads the raw data and convert them to arrow (or parquet if you want). We are working on allowing you to reload a dataset saved on S3 with `download_and_prepare` using `load_dataset` in #5281 

For now I'd encourage you to keep using `save_to_disk`

Thanks, I'll follow that issue. 

I was following the [cloud storage](https://huggingface.co/docs/datasets/filesystems) docs section and perhaps I'm missing some part of the flow; start with `load_dataset_builder` + `download_and_prepare`. You say I need an explicit `save_to_disk` but what object needs to be saved? the builder? is that related to the other issue?

Right now `load_dataset_builder` + `download_and_prepare` is to be used with tools like dask or spark, but `load_dataset` will support private cloud storage soon as well so you'll be able to reload the dataset with `datasets`.

Right now the only function that can load a dataset from a cloud storage is `load_from_disk`, that must be used with a dataset serialized with `save_to_disk`.