to_tf_dataset keeps a reference to the open data somewhere, causing issues on windows
I did some investigation and, as it seems, the bug stems from [this line](https://github.com/huggingface/datasets/blob/8004d7c3e1d74b29c3e5b0d1660331cd26758363/src/datasets/arrow_dataset.py#L325). The lifecycle of the dataset from the linked line is bound to one of the returned `tf.data.Dataset`. So my (hacky) solution involves wrapping the linked dataset with `weakref.proxy` and adding a custom `__del__` to `tf.python.data.ops.dataset_ops.TensorSliceDataset` (this is the type of a dataset that is returned by `tf.data.Dataset.from_tensor_slices`; this works for TF 2.x, but I'm not sure `tf.python.data.ops.dataset_ops` is a valid path for TF 1.x) that deletes the linked dataset, which is assigned to the dataset object as a property. Will open a draft PR soon! Thanks a lot for investigating !
To reproduce:
```python
import datasets as ds
import weakref
import gc

d = ds.load_dataset("mnist", split="train")
ref = weakref.ref(d._data.table)
tfd = d.to_tf_dataset("image", batch_size=1, shuffle=False, label_cols="label")
del tfd, d
gc.collect()
assert ref() is None, "Error: there is at least one reference left"
```

This causes issues because the table holds a reference to an open arrow file that should be closed. So on windows it's not possible to delete or move the arrow file afterwards.

Moreover the CI test of the `to_tf_dataset` method isn't able to clean up the temporary arrow files because of this.

cc @Rocketknight1 