Bad error message when trying to download gated dataset
### Describe the bug

When I attempt to download a model from the Hub that is gated without being logged in, I get a nice error message. E.g.:

E.g.
```sh
Repository Not Found for url: https://huggingface.co/api/models/DeepFloyd/IF-I-XL-v1.0.
Please make sure you specified the correct `repo_id` and `repo_type`.
If you are trying to access a private or gated repo, make sure you are authenticated.
Invalid username or password..
Will try to load from local cache.
```

If I do the same for a gated dataset on the Hub, I'm not gated a nice error message IMO:

```sh
File ~/hf/lib/python3.10/site-packages/fsspec/implementations/http.py:430, in HTTPFileSystem._info(self, url, **kwargs)
    427     except Exception as exc:
    428         if policy == "get":
    429             # If get failed, then raise a FileNotFoundError
--> 430             raise FileNotFoundError(url) from exc
    431         logger.debug(str(exc))
    433 return {"name": url, "size": None, **info, "type": "file"}

FileNotFoundError: https://huggingface.co/datasets/mozilla-foundation/common_voice_13_0/resolve/main/n_shards.json
```

### Steps to reproduce the bug

```
huggingface-cli logout
```

and then:

```py
from datasets import load_dataset, Audio

# English
stream_data = load_dataset("mozilla-foundation/common_voice_13_0", "en", split="test", streaming=True)
stream_data = stream_data.cast_column("audio", Audio(sampling_rate=16000))
en_sample = next(iter(stream_data))["audio"]["array"]

# Swahili
stream_data = load_dataset("mozilla-foundation/common_voice_13_0", "sw", split="test", streaming=True)
stream_data = stream_data.cast_column("audio", Audio(sampling_rate=16000))
sw_sample = next(iter(stream_data))["audio"]["array"]
```

### Expected behavior

Better error message

### Environment info

Copy-and-paste the text below in your GitHub issue.

- `datasets` version: 2.12.0
- Platform: Linux-6.2.0-76060200-generic-x86_64-with-glibc2.35
- Python version: 3.10.6
- Huggingface_hub version: 0.16.0.dev0
- PyArrow version: 11.0.0
- Pandas version: 1.5.3
