Speed up plot_demo_plotting.py

when localizer datasets has not been downloaded. The main issue was that
the data was fetched for all the subjects irrespective of
n_subjects. This was more than 1GB data for anats.

Also some minor clean-up.

This fixes #317.
@AlexandreAbraham BTW not sure what
> However, the caching system only checks for the presence of the n_subjects first subjects on disk.

means exactly. Any idea?