Use 'with' operator for some download functions
The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/datasets/pr_6751). All of your documentation changes will be reflected on that endpoint. The docs are available until 30 days after the last update. I was mistaken on the intent of those functions, closing the PR.
Some functions in `streaming_download_manager.py` are not closing the file they open which lead to `Unclosed file` warnings in our code. This fixes a few of them.