Unexpected type after `concatenate_datasets`
Hi @JulesBelveze, thanks for your question.

Note that 🤗  `datasets` internally store their data in Apache Arrow format.

However, when accessing dataset columns, by default they are returned as native Python objects (lists in this case).

If you would like their columns to be returned in a more suitable format for your use case (torch arrays), you can use the method `set_format()`:
```python
concat_dataset.set_format(type="torch")
```

You have detailed information in our docs:
- [Using a Dataset with PyTorch/Tensorflow](https://huggingface.co/docs/datasets/torch_tensorflow.html)
- [Dataset.set_format()](https://huggingface.co/docs/datasets/package_reference/main_classes.html#datasets.Dataset.set_format) Thanks @albertvillanova it indeed did the job 😃 
Thanks for your answer!
## Describe the bug
I am trying to concatenate two `Dataset` using `concatenate_datasets` but it turns out that after concatenation the features are casted from `torch.Tensor` to `list`. 
It then leads to a weird tensors when trying to convert it to a `DataLoader`. However, if I use each `Dataset` separately everything behave as expected.

## Steps to reproduce the bug
```python
>>> featurized_teacher
Dataset({
    features: ['t_labels', 't_input_ids', 't_token_type_ids', 't_attention_mask'],
    num_rows: 502
})
>>> for f in featurized_teacher.features:
     print(featurized_teacher[f].shape)
torch.Size([502])
torch.Size([502, 300])
torch.Size([502, 300])
torch.Size([502, 300])

>>> featurized_student
Dataset({
    features: ['s_features', 's_labels'],
    num_rows: 502
})
>>> for f in featurized_student.features:
     print(featurized_student[f].shape)
torch.Size([502, 64])
torch.Size([502])
```
The shapes seem alright to me. Then the results after concatenation are as follow:
```python
>>> concat_dataset = datasets.concatenate_datasets([featurized_student, featurized_teacher], axis=1)
>>> type(concat_dataset["t_labels"])
<class 'list'>
```
One would expect to obtain the same type as the one before concatenation.

Am I doing something wrong here? Any idea on how to fix this unexpected behavior?

## Environment info
- `datasets` version: 1.9.0
- Platform: macOS-10.14.6-x86_64-i386-64bit
- Python version: 3.9.5
- PyArrow version: 3.0.0
