Issue: Error when concatenate_datasets

Hello, when I concatenate two dataset loading  from disk, I encountered a problem:
```
test_dataset = load_from_disk('data/test_dataset')
trn_dataset = load_from_disk('data/train_dataset')

train_dataset = concatenate_datasets([trn_dataset, test_dataset])
```
And it reported ValueError blow:
```
---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-38-74fa525512ca> in <module>
----> 1 train_dataset = concatenate_datasets([trn_dataset, test_dataset])

/opt/miniconda3/lib/python3.7/site-packages/datasets/arrow_dataset.py in concatenate_datasets(dsets, info, split)
   2547                 "However datasets' indices {} come from memory and datasets' indices {} come from disk.".format(
   2548                     [i for i in range(len(dsets)) if indices_mappings_in_memory[i]],
-> 2549                     [i for i in range(len(dsets)) if not indices_mappings_in_memory[i]],
   2550                 )
   2551             )

ValueError: Datasets' indices should ALL come from memory, or should ALL come from disk.
However datasets' indices [1] come from memory and datasets' indices [0] come from disk.
```

But it's curious both of my datasets loading from disk, so I check the source code in `arrow_dataset.py` about the Error:
```
trn_dataset._data_files
# output
[{'filename': 'data/train_dataset/csv-train.arrow', 'skip': 0, 'take': 593264}]

test_dataset._data_files
# output
[{'filename': 'data/test_dataset/csv-test.arrow', 'skip': 0, 'take': 424383}]

print([not dset._data_files for dset in [trn_dataset, test_dataset]])
# [False, False]

# And I tested the code the same as arrow_dataset, but nothing happened
dsets = [trn_dataset, test_dataset]
dsets_in_memory = [not dset._data_files for dset in dsets]
if any(dset_in_memory != dsets_in_memory[0] for dset_in_memory in dsets_in_memory):
    raise ValueError(
        "Datasets should ALL come from memory, or should ALL come from disk.\n"
        "However datasets {} come from memory and datasets {} come from disk.".format(
            [i for i in range(len(dsets)) if dsets_in_memory[i]],
            [i for i in range(len(dsets)) if not dsets_in_memory[i]],
        )
    )
```

Any suggestions would be greatly appreciated! 
Thanks!

Comments:
As you can see in the error the test checks if `indices_mappings_in_memory` is True or not, which is different from the test you do in your script. In a dataset, both the data and the indices mapping can be either on disk or in memory.

The indices mapping correspond to a mapping on top of the data table that is used to re-order/select a sample of the original data table. For example if you do `dataset.train_test_split`, then the resulting train and test datasets will have both an indices mapping to tell which examples are in train and which ones in test.

Before saving your datasets on disk, you should call `dataset.flatten_indices()` to remove the indices mapping. It should fix your issue. Under the hood it will create a new data table using the indices mapping. The new data table is going to be a subset of the old one (for example taking only the test set examples), and since the indices mapping will be gone you'll be able to concatenate your datasets.


> As you can see in the error the test checks if `indices_mappings_in_memory` is True or not, which is different from the test you do in your script. In a dataset, both the data and the indices mapping can be either on disk or in memory.
> 
> The indices mapping correspond to a mapping on top of the data table that is used to re-order/select a sample of the original data table. For example if you do `dataset.train_test_split`, then the resulting train and test datasets will have both an indices mapping to tell which examples are in train and which ones in test.
> 
> Before saving your datasets on disk, you should call `dataset.flatten_indices()` to remove the indices mapping. It should fix your issue. Under the hood it will create a new data table using the indices mapping. The new data table is going to be a subset of the old one (for example taking only the test set examples), and since the indices mapping will be gone you'll be able to concatenate your datasets.

`dataset.flatten_indices()` solved my problem, thanks so much!

@lhoestq we can add a mention of `dataset.flatten_indices()` in the error message (no rush, just put it on your TODO list or I can do it when I come at it)

Yup I agree ! And in the docs as well