Support downloading specific splits in load_dataset
I’ve completed the following steps to continue the partial split download support (from PR #6832):

I did changes on top of what has been done by mario. Here are some of those changes: 
- Restored support for writing multiple split shards:

- In _prepare_split_single, we now correctly replace JJJJJ and SSSSS placeholders in the fpath for job/shard IDs before creating the writer.

- Added os.makedirs(os.path.dirname(path), exist_ok=True) after placeholder substitution to prevent FileNotFoundError.

- Applied the fix to both split writers:

       1] self._generate_examples version (used by most modules).

       2] self._generate_tables version (used by IterableDatasetBuilder).

- Confirmed 109/113 tests passing, meaning the general logic is working across the board.

What’s still failing
4 integration tests fail:

`test_load_hub_dataset_with_single_config_in_metadata`

`test_load_hub_dataset_with_two_config_in_metadata`

`test_load_hub_dataset_with_metadata_config_in_parallel`

`test_reload_old_cache_from_2_15`

All are due to FileNotFoundError from uncreated output paths, which I'm currently finalizing by ensuring os.makedirs() is correctly applied before every writer instantiation.

I will update about these fixes after running tests! @lhoestq this was just an update The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/datasets/pr_7695). All of your documentation changes will be reflected on that endpoint. The docs are available until 30 days after the last update. Local DIR wasn't doing well, dk actually what happened, will PR again! Sorry :)
This PR builds on #6832 by @mariosasko.

May close - #4101, #2538

Discussion - https://github.com/huggingface/datasets/pull/7648#issuecomment-3084050130

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### Note - This PR is under work and frequent changes will be pushed.