If single DP ID requested without a list, naked filename is returned.
Changed location of caching debug messages
Converted private __session from to non-public _session
Clear session redirect_cache

New requests will break otherwise
Add test for two retrieve_data() in a row
Docstring: __session -> _session
Merge pull request #435 from jwoillez/retrieve_data_minor_fix

Fix for requests redirect_cache issue