to_tf_dataset keeps a reference to the open data somewhere, causing issues on windows
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 