Minor tqdm fixes
`GeneratorBasedBuilder`'s TQDM bars were not used as context managers. This PR fixes that (missed these bars in https://github.com/huggingface/datasets/pull/5560). 

Also, this PR modifies the single-proc `save_to_disk` to fix the issue with the TQDM bar not accumulating the progress in the multi-shard setting (again, this bug was introduced by me in the linked PR 😎)