Fix load_dataset for data_files with protocols other than HF

Fixes huggingface/datasets/issues/6598

I've added a new test case and a solution. Before applying the solution the test case was failing with the same error described in the linked issue.

MRE:
```
pip install "datasets[s3]"
python -c "from datasets import load_dataset; load_dataset('csv', data_files={'train': 's3://noaa-gsod-pds/2024/A5125600451.csv'})"
```


The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/datasets/pr_6862). All of your documentation changes will be reflected on that endpoint. The docs are available until 30 days after the last update.

<details>
<summary>Show benchmarks</summary>

PyArrow==8.0.0

<details>
<summary>Show updated benchmarks!</summary>

### Benchmark: benchmark_array_xd.json

| metric | read_batch_formatted_as_numpy after write_array2d | read_batch_formatted_as_numpy after write_flattened_sequence | read_batch_formatted_as_numpy after write_nested_sequence | read_batch_unformated after write_array2d | read_batch_unformated after write_flattened_sequence | read_batch_unformated after write_nested_sequence | read_col_formatted_as_numpy after write_array2d | read_col_formatted_as_numpy after write_flattened_sequence | read_col_formatted_as_numpy after write_nested_sequence | read_col_unformated after write_array2d | read_col_unformated after write_flattened_sequence | read_col_unformated after write_nested_sequence | read_formatted_as_numpy after write_array2d | read_formatted_as_numpy after write_flattened_sequence | read_formatted_as_numpy after write_nested_sequence | read_unformated after write_array2d | read_unformated after write_flattened_sequence | read_unformated after write_nested_sequence | write_array2d | write_flattened_sequence | write_nested_sequence |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.005615 / 0.011353 (-0.005738) | 0.004015 / 0.011008 (-0.006994) | 0.066769 / 0.038508 (0.028261) | 0.032983 / 0.023109 (0.009874) | 0.246301 / 0.275898 (-0.029597) | 0.266463 / 0.323480 (-0.057017) | 0.003291 / 0.007986 (-0.004695) | 0.002905 / 0.004328 (-0.001424) | 0.049913 / 0.004250 (0.045663) | 0.046186 / 0.037052 (0.009134) | 0.248971 / 0.258489 (-0.009518) | 0.288066 / 0.293841 (-0.005775) | 0.029638 / 0.128546 (-0.098908) | 0.012454 / 0.075646 (-0.063192) | 0.225397 / 0.419271 (-0.193875) | 0.036075 / 0.043533 (-0.007458) | 0.250110 / 0.255139 (-0.005029) | 0.267968 / 0.283200 (-0.015232) | 0.020943 / 0.141683 (-0.120740) | 1.116938 / 1.452155 (-0.335216) | 1.159617 / 1.492716 (-0.333099) |

### Benchmark: benchmark_getitem\_100B.json

| metric | get_batch_of\_1024\_random_rows | get_batch_of\_1024\_rows | get_first_row | get_last_row |
|--------|---|---|---|---|
| new / old (diff) | 0.099813 / 0.018006 (0.081807) | 0.310770 / 0.000490 (0.310280) | 0.000223 / 0.000200 (0.000023) | 0.000043 / 0.000054 (-0.000012) |

### Benchmark: benchmark_indices_mapping.json

| metric | select | shard | shuffle | sort | train_test_split |
|--------|---|---|---|---|---|
| new / old (diff) | 0.018909 / 0.037411 (-0.018503) | 0.062833 / 0.014526 (0.048307) | 0.074895 / 0.176557 (-0.101662) | 0.121213 / 0.737135 (-0.615922) | 0.076984 / 0.296338 (-0.219355) |

### Benchmark: benchmark_iterating.json

| metric | read 5000 | read 50000 | read_batch 50000 10 | read_batch 50000 100 | read_batch 50000 1000 | read_formatted numpy 5000 | read_formatted pandas 5000 | read_formatted tensorflow 5000 | read_formatted torch 5000 | read_formatted_batch numpy 5000 10 | read_formatted_batch numpy 5000 1000 | shuffled read 5000 | shuffled read 50000 | shuffled read_batch 50000 10 | shuffled read_batch 50000 100 | shuffled read_batch 50000 1000 | shuffled read_formatted numpy 5000 | shuffled read_formatted_batch numpy 5000 10 | shuffled read_formatted_batch numpy 5000 1000 |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.282026 / 0.215209 (0.066817) | 2.775044 / 2.077655 (0.697390) | 1.485574 / 1.504120 (-0.018546) | 1.356639 / 1.541195 (-0.184556) | 1.378677 / 1.468490 (-0.089813) | 0.724739 / 4.584777 (-3.860038) | 2.379279 / 3.745712 (-1.366433) | 3.030104 / 5.269862 (-2.239758) | 1.981636 / 4.565676 (-2.584041) | 0.078758 / 0.424275 (-0.345517) | 0.005188 / 0.007607 (-0.002419) | 0.336284 / 0.226044 (0.110240) | 3.261649 / 2.268929 (0.992720) | 1.849333 / 55.444624 (-53.595292) | 1.564988 / 6.876477 (-5.311489) | 1.598720 / 2.142072 (-0.543353) | 0.793190 / 4.805227 (-4.012038) | 0.135384 / 6.500664 (-6.365280) | 0.043597 / 0.075469 (-0.031872) |

### Benchmark: benchmark_map_filter.json

| metric | filter | map fast-tokenizer batched | map identity | map identity batched | map no-op batched | map no-op batched numpy | map no-op batched pandas | map no-op batched pytorch | map no-op batched tensorflow |
|--------|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.976428 / 1.841788 (-0.865359) | 12.087446 / 8.074308 (4.013138) | 9.756592 / 10.191392 (-0.434800) | 0.140836 / 0.680424 (-0.539588) | 0.015193 / 0.534201 (-0.519008) | 0.327789 / 0.579283 (-0.251494) | 0.265418 / 0.434364 (-0.168945) | 0.356548 / 0.540337 (-0.183790) | 0.451014 / 1.386936 (-0.935922) |

</details>
PyArrow==latest

<details>
<summary>Show updated benchmarks!</summary>

### Benchmark: benchmark_array_xd.json

| metric | read_batch_formatted_as_numpy after write_array2d | read_batch_formatted_as_numpy after write_flattened_sequence | read_batch_formatted_as_numpy after write_nested_sequence | read_batch_unformated after write_array2d | read_batch_unformated after write_flattened_sequence | read_batch_unformated after write_nested_sequence | read_col_formatted_as_numpy after write_array2d | read_col_formatted_as_numpy after write_flattened_sequence | read_col_formatted_as_numpy after write_nested_sequence | read_col_unformated after write_array2d | read_col_unformated after write_flattened_sequence | read_col_unformated after write_nested_sequence | read_formatted_as_numpy after write_array2d | read_formatted_as_numpy after write_flattened_sequence | read_formatted_as_numpy after write_nested_sequence | read_unformated after write_array2d | read_unformated after write_flattened_sequence | read_unformated after write_nested_sequence | write_array2d | write_flattened_sequence | write_nested_sequence |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.005879 / 0.011353 (-0.005474) | 0.004001 / 0.011008 (-0.007008) | 0.051066 / 0.038508 (0.012558) | 0.033824 / 0.023109 (0.010714) | 0.275303 / 0.275898 (-0.000595) | 0.301223 / 0.323480 (-0.022257) | 0.004456 / 0.007986 (-0.003530) | 0.002930 / 0.004328 (-0.001399) | 0.050674 / 0.004250 (0.046423) | 0.040798 / 0.037052 (0.003746) | 0.288702 / 0.258489 (0.030213) | 0.324865 / 0.293841 (0.031024) | 0.032935 / 0.128546 (-0.095611) | 0.012372 / 0.075646 (-0.063274) | 0.060778 / 0.419271 (-0.358493) | 0.034369 / 0.043533 (-0.009164) | 0.277240 / 0.255139 (0.022101) | 0.300027 / 0.283200 (0.016828) | 0.018586 / 0.141683 (-0.123097) | 1.148498 / 1.452155 (-0.303657) | 1.256665 / 1.492716 (-0.236052) |

### Benchmark: benchmark_getitem\_100B.json

| metric | get_batch_of\_1024\_random_rows | get_batch_of\_1024\_rows | get_first_row | get_last_row |
|--------|---|---|---|---|
| new / old (diff) | 0.105616 / 0.018006 (0.087610) | 0.328206 / 0.000490 (0.327716) | 0.000229 / 0.000200 (0.000029) | 0.000052 / 0.000054 (-0.000003) |

### Benchmark: benchmark_indices_mapping.json

| metric | select | shard | shuffle | sort | train_test_split |
|--------|---|---|---|---|---|
| new / old (diff) | 0.023759 / 0.037411 (-0.013652) | 0.077709 / 0.014526 (0.063183) | 0.089840 / 0.176557 (-0.086717) | 0.129891 / 0.737135 (-0.607244) | 0.091533 / 0.296338 (-0.204805) |

### Benchmark: benchmark_iterating.json

| metric | read 5000 | read 50000 | read_batch 50000 10 | read_batch 50000 100 | read_batch 50000 1000 | read_formatted numpy 5000 | read_formatted pandas 5000 | read_formatted tensorflow 5000 | read_formatted torch 5000 | read_formatted_batch numpy 5000 10 | read_formatted_batch numpy 5000 1000 | shuffled read 5000 | shuffled read 50000 | shuffled read_batch 50000 10 | shuffled read_batch 50000 100 | shuffled read_batch 50000 1000 | shuffled read_formatted numpy 5000 | shuffled read_formatted_batch numpy 5000 10 | shuffled read_formatted_batch numpy 5000 1000 |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.308228 / 0.215209 (0.093019) | 2.966868 / 2.077655 (0.889213) | 1.589914 / 1.504120 (0.085794) | 1.463263 / 1.541195 (-0.077932) | 1.508233 / 1.468490 (0.039743) | 0.722289 / 4.584777 (-3.862488) | 0.961580 / 3.745712 (-2.784132) | 2.897209 / 5.269862 (-2.372653) | 1.969601 / 4.565676 (-2.596076) | 0.079850 / 0.424275 (-0.344425) | 0.005394 / 0.007607 (-0.002213) | 0.355451 / 0.226044 (0.129406) | 3.486822 / 2.268929 (1.217893) | 1.987236 / 55.444624 (-53.457388) | 1.701017 / 6.876477 (-5.175460) | 1.849909 / 2.142072 (-0.292163) | 0.785358 / 4.805227 (-4.019870) | 0.135085 / 6.500664 (-6.365579) | 0.042056 / 0.075469 (-0.033413) |

### Benchmark: benchmark_map_filter.json

| metric | filter | map fast-tokenizer batched | map identity | map identity batched | map no-op batched | map no-op batched numpy | map no-op batched pandas | map no-op batched pytorch | map no-op batched tensorflow |
|--------|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 1.055287 / 1.841788 (-0.786501) | 13.696916 / 8.074308 (5.622608) | 10.801396 / 10.191392 (0.610004) | 0.134642 / 0.680424 (-0.545782) | 0.016007 / 0.534201 (-0.518194) | 0.304163 / 0.579283 (-0.275120) | 0.124530 / 0.434364 (-0.309834) | 0.344002 / 0.540337 (-0.196335) | 0.445138 / 1.386936 (-0.941798) |

</details>
</details>

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