add support for storage_options for load_dataset API
hi @lhoestq,
I saw some errors in my test and found all the failed reasons are `FileNotFoundError`  about `test_load_streaming_private_dataset_with_zipped_data` and `test_load_dataset_private_zipped_images` in `test_load.py `, I run pytest on my own Wins and Ubuntu system all the test in `test_load.py ` are succeed. could you help me to check the test environment of our server?

`2023-06-08T16:50:48.0828281Z FAILED tests/test_load.py::test_load_streaming_private_dataset_with_zipped_data - FileNotFoundError: Couldn't find a dataset script at D:\a\datasets\datasets\__DUMMY_TRANSFORMERS_USER__\repo_zipped_txt_data-16862429577813\repo_zipped_txt_data-16862429577813.py or any data file in the same directory. Couldn't find '__DUMMY_TRANSFORMERS_USER__/repo_zipped_txt_data-16862429577813' on the Hugging Face Hub either: FileNotFoundError: No (supported) data files or dataset script found in __DUMMY_TRANSFORMERS_USER__/repo_zipped_txt_data-16862429577813`
`2023-06-08T16:50:48.0830602Z FAILED tests/test_load.py::test_load_dataset_private_zipped_images[False-False] - FileNotFoundError: Couldn't find a dataset script at D:\a\datasets\datasets\__DUMMY_TRANSFORMERS_USER__\repo_zipped_img_data-16862429594168\repo_zipped_img_data-16862429594168.py or any data file in the same directory. Couldn't find '__DUMMY_TRANSFORMERS_USER__/repo_zipped_img_data-16862429594168' on the Hugging Face Hub either: FileNotFoundError: No (supported) data files or dataset script found in __DUMMY_TRANSFORMERS_USER__/repo_zipped_img_data-16862429594168` I just re-ran the CI, hopefully it's fixed The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/datasets/pr_5919). All of your documentation changes will be reflected on that endpoint. > I just re-ran the CI, hopefully it's fixed

I just checked, still has the same error, maybe need someone to fix it I think the issue comes from this PR somehow, since the CI fail is related to loading private repositories and this PR touches authentication related code. Let me check what's the issue, and I'll also review your PR later (sorry I don't have a ton of bandwidth atm)
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.