Support remote cache_dir
_The documentation is not available anymore as the PR was closed or merged._ @lhoestq thanks for your review.

Please note that `xjoin` cannot be used in this context, as it always returns a POSIX path string and this is not suitable on Windows machines. <s>`xjoin` returns windows paths (not posix) on windows, since it just extends`os.path.join` </s>

Actually you are right.

https://github.com/huggingface/datasets/blob/08ec04ccb59630a3029b2ecd8a14d327bddd0c4a/src/datasets/utils/streaming_download_manager.py#L104-L105

Though this is not an issue because posix paths (as returned by Path().as_posix()) work on windows. That's why we can replace `os.path.join` with `xjoin` in streaming mode. They look like `c:/Program Files/` or something (can't confirm right now, I don't have a windows with me) Until now, we have always replaced "/" in paths with `os.path.join` (`os.sep`,...) in order to support Windows paths (that contain r"\\").

Now, you suggest ignoring this and work with POSIX strings (with "/").

As an example, when passing `cache_dir=r"C:\Users\Username\.mycache"`:
- Until now, it results in `self._cache_downloaded_dir = r"C:\Users\Username\.mycache\downloads"`
- If we use `xjoin`, it will give `self._cache_downloaded_dir = "C:/Users/Username/.mycache/downloads"`

You say this is OK and we don't care if we work with POSIX strings on Windows machines.

I'm incorporating your suggested changes then... Also note that using `xjoin`, if we pass `cache_dir="C:\\Users\\Username\\.mycache"`, we get:
- `self._cache_dir_root = "C:\\Users\\Username\\.mycache"`
- `self._cache_downloaded_dir = "C:/Users/Username/.mycache/downloads"` It looks like it broke the CI on windows :/ maybe this was not a good idea, sorry
This PR implements complete support for remote `cache_dir`. Before, the support was just partial.

This is useful to create datasets using Apache Beam (parallel data processing) builder with `cache_dir` in a remote bucket, e.g., for Wikipedia dataset.