Improve logging
Adds the StreamHandler (as `hfh` and `transformers` do) to the library's logger to log INFO messages and logs the messages about "loading a cached result" (and some other warnings) as INFO

(Also removes the `leave=False` arg in the progress bars to be consistent with `hfh` and `transformers` - progress bars serve as an indicator that a result is not cached, so it makes more sense not to delete them)

Fix #2832, fix https://github.com/huggingface/datasets/issues/1948, fix https://github.com/huggingface/datasets/issues/5444