Using as_dataset on a "parquet" builder  
Hi! You can refer to [this doc](https://huggingface.co/docs/datasets/filesystems#load-and-save-your-datasets-using-your-cloud-storage-filesystem) to see the intended usage (basically, it skips the Arrow -> Parquet conversion step in `ds = load_dataset(...); ds.to_parquet("path/to/parquet")`) and allows writing Parquet to remote storage unlike `to_parquet`).

> I guess I'd expect as_dataset to generate the dataset in arrow format if it has to, or to suggest an alternative way to load the dataset (I've also tried other methods with load_dataset to no avail, probably due to misunderstandings on my part).

`as_dataset` does not work with `file_format="parquet"` files as Parquet files cannot be memory-mapped, so I think we should just raise an error in that case.

### Describe the bug

I used a custom builder to ``download_and_prepare`` a dataset. The first (very minor) issue is that the doc seems to suggest ``download_and_prepare`` will return the dataset, while it does not ([builder.py](https://github.com/huggingface/datasets/blob/main/src/datasets/builder.py#L718-L738)).
```
        >>> from datasets import load_dataset_builder
        >>> builder = load_dataset_builder("rotten_tomatoes")
        >>> ds = builder.download_and_prepare("./output_dir", file_format="parquet")
```

The main issue I am facing is loading the dataset from those parquet files. I used the `as_dataset` method suggested by the doc, however it returns:
`
FileNotFoundError: [Errno 2] Failed to open local file 'output_dir/__main__-train-00000-of-00245.arrow'. Detail:
[errno 2] No such file or directory.
` 

### Steps to reproduce the bug

1. Create a custom builder of some sort: `builder = CustomBuilder()`.
2. Run `download_and_prepare` with the parquet format: `builder.download_and_prepare("./output_dir", file_format="parquet")`.
3. Run `dataset = builder.as_dataset()`.  

### Expected behavior

I guess I'd expect `as_dataset` to generate the dataset in arrow format if it has to, or to suggest an alternative way to load the dataset (I've also tried other methods with `load_dataset` to no avail, probably due to misunderstandings on my part). 

### Environment info

```
- `datasets` version: 2.12.0
- Platform: Linux-5.15.0-1027-gcp-x86_64-with-glibc2.31
- Python version: 3.10.0
- Huggingface_hub version: 0.14.1
- PyArrow version: 8.0.0
- Pandas version: 1.5.3
```