Better error message when using the wrong load_from_disk

As mentioned in #2424, the error message when one tries to use `Dataset.load_from_disk` to load a DatasetDict object (or _vice versa_) can be improved. I added a suggestion in the error message to let users know that they should use the other one.

We also have other cases where people are lost between Dataset and DatasetDict, maybe let's gather and solve them all here?

For instance, I remember that some people thought they would request a single element of a split but are calling this on a DatasetDict. Maybe here also a better error message when the split requested in not in the dict? pointing to the list of split and the fact that this is a datasetdict containing several datasets?

Good idea, let me add a better error message for this case too

As a digression from the topic of this PR, IMHO I think that the difference between Dataset and DatasetDict is an additional abstraction complexity that confuses "typical" end users. I think a user expects a "Dataset" (whatever it contains multiple or a single split) and maybe it could be interesting to try to simplify the user-facing API as much as possible to hide this complexity from the end user.

I don't know your opinion about this, but it might be worth discussing...

For example, I really like the line of the solution of using the function `load_from_disk`, which hides the previous mentioned complexity and handles under the hood whether Dataset/DatasetDict instances should be created...

I totally agree, I just haven't found a solution that doesn't imply major breaking changes x)

Yes I would also like to find a better solution. Do we have any solution actually? (even implying breaking changes)

Here is a proposal for discussion and refined (and potential abandon if it's not good enough):
- let's consider that a DatasetDict is also a Dataset with the various split concatenated one after the other
- let's disallow the use of integers in split names (probably not a very big breaking change)
- when you index with integers you access the examples progressively in split after the other is finished (in a deterministic order)
- when you index with strings/split name you have the same behavior as now (full backward compat)
- let's then also have all the methods of a Dataset on the DatasetDict

The end goal would be to merge both `Dataset` and `DatasetDict` object in a single object that would be (pretty much totally) backward compatible with both.

I like the direction :) I think it can make sense to concatenate them.

There are a few things that I we could discuss if we want to merge Dataset and DatasetDict:
1. what happens if you index by a string ? Does it return the column or the split ? We could disallow conflicts between column names and split names to avoid ambiguities. It can be surprising to be able to get a column or a split using the same indexing feature
```python
from datasets import load_dataset

dataset = load_dataset(...)
dataset["train"]
dataset["input_ids"]
```
2. what happens when you iterate over the object ? I guess it should iterate over the examples as a Dataset object, but a DatasetDict used to iterate over the splits as they are the dictionary keys. This is a breaking change that we can discuss.

Moreover regarding your points:
- integers are not allowed as split names already
- it's definitely doable to have all the methods. Maybe some of them like `train_test_split` that is currently only available for Dataset can be tweaked to work for a split dataset

Instead of suggesting the use of `Dataset.load_from_disk` and `DatasetDict.load_from_disk`, the error message now suggests to use `datasets.load_from_disk` directly

Merging the error message improvement, feel free to continue the discussion here or in a github issue