Generating train split takes a long time
@alexanderswerdlow 
When no specific split is mentioned, the load_dataset library will load all available splits of the dataset. For example, if a dataset has "train" and "test" splits, the load_dataset function will load both into the DatasetDict object.

![image](https://github.com/user-attachments/assets/379e6f57-7e1b-4cc3-bc36-dae3e878a51c)


The dataset PixArt-alpha/SAM-LLaVA-Captions10M may have been uploaded with different predefined splits (e.g., "train", "test", etc.), and by default, Hugging Face will load all splits unless you specifically request only one.

### If you want to load only a specific split (e.g., only the "train" set), you can specify it in the split parameter like this:
```python
from datasets import load_dataset
dataset = load_dataset("PixArt-alpha/SAM-LLaVA-Captions10M", split="train")
```

### You can also load multiple splits if needed:
```python
dataset = load_dataset("PixArt-alpha/SAM-LLaVA-Captions10M", split=["train", "test"])
```

 @alexanderswerdlow, I will now work on this..

## Idea:
Whenever this code has ran:
```python
from datasets import load_dataset
dataset = load_dataset("PixArt-alpha/SAM-LLaVA-Captions10M")
```

It should show all the splits of the datasets, and user has to choose which one should be loaded before generating a split like this,,

![image](https://github.com/user-attachments/assets/8fbc604f-f0a5-4a59-a63e-aa4c26442c83)

### Describe the bug

Loading a simple webdataset takes ~45 minutes.

### Steps to reproduce the bug

```
from datasets import load_dataset
dataset = load_dataset("PixArt-alpha/SAM-LLaVA-Captions10M")
```

### Expected behavior

The dataset should load immediately as it does when loaded through a normal indexed WebDataset loader. Generating splits should be optional and there should be a message showing how to disable it. 

### Environment info

- `datasets` version: 2.20.0
- Platform: Linux-4.18.0-372.32.1.el8_6.x86_64-x86_64-with-glibc2.28
- Python version: 3.10.14
- `huggingface_hub` version: 0.24.1
- PyArrow version: 16.1.0
- Pandas version: 2.2.2
- `fsspec` version: 2024.5.0