Messages are being printed to the `stdout`
This is expected to show this message to the user via stdout.
This way the users see it directly and can cancel the downloading if they want to.
Could you elaborate why it would be better to have it in stderr instead of stdout ? @lhoestq, sorry for the late reply

I completely understand why you decided to output a message that is always shown. The only problem is that the message is printed to the `stdout`. For example, if the user runs `python run_glue.py > log_file`, it will redirect `stdout` to the file named  `log_file`, and the message will not be shown to the user.

Instead, we should print this message to `stderr`.  Even in the case of `python run_glue.py > log_file` only `stdout` is being redirected and so the message is always shown. We now log these messages to `stderr` (the built-in `logging` module's default behavior). 
In this code segment, we can see some messages are being printed to the `stdout`.
https://github.com/huggingface/datasets/blob/7e60bb509b595e8edc60a87f32b2bacfc065d607/src/datasets/builder.py#L545-L554
According to the comment, it is done intentionally, but I don't really understand why don't we log it with a higher level or print it directly to the `stderr`.
In my opinion, this kind of messages should never printed to the stdout. At least some configuration/flag should make it possible to provide in order to explicitly prevent the package to contaminate the stdout.
