Warn about checksums
_The documentation is not available anymore as the PR was closed or merged._ I'm also in favor of disabling this by default - it's kinda impractical Great, thanks for the quick turnaround on this!
It takes a lot of time on big datasets to compute the checksums, we should at least add a warning to notify the user about this step. I also mentioned how to disable it, and added a tqdm bar (delay=5 seconds)

cc @ola13 