add support for storage_options for load_dataset API
to solve the issue in #5880 

1.  add s3 support in the link check step, previous we only check `http` and `https`,

2. change the parameter of `use_auth_token` to `download_config` to support both `storage_options` and `use_auth_token` parameter when trying to handle(list, open, read, etc,.) the remote files.

3.  integrate the check part's duplicate code to make adding or deleting other sources easier.