ArrowDataset.save_to_disk lost some logic of remote
We just fixed this on `main` and will do a new release soon :)
### Describe the bug

https://github.com/huggingface/datasets/blob/e7ce0ac60c7efc10886471932854903a7c19f172/src/datasets/arrow_dataset.py#L1371

Here is the bug point, when I want to save from a `DatasetDict` class and the items of the instance is like `[('train', Dataset({features: ..., num_rows: ...}))]` , there is no guarantee that there exists a directory name `train` under `dataset_dict_path`.

### Steps to reproduce the bug

1. Mock a DatasetDict with items like what I said.
2. using save_to_disk with storage_options, u can use local sftp. code may like below

```python
from datasets import load_dataset
dataset = load_dataset(...)
dataset.save_to_disk('sftp:///tmp', storage_options={'host': 'localhost', 'username': 'admin'})
```
I suppose u can reproduce the bug by these steps. 

### Expected behavior

Should create the folder if it does not exists, just like we do locally.

### Environment info

- `datasets` version: 2.11.0
- Platform: Linux-6.2.10-arch1-1-x86_64-with-glibc2.35
- Python version: 3.10.9
- Huggingface_hub version: 0.13.2
- PyArrow version: 11.0.0
- Pandas version: 1.5.3