Deal with the bad check in test_load.py
Hi ! I did a change for this test already in #2662 :

https://github.com/huggingface/datasets/blob/00686c46b7aaf6bfcd4102cec300a3c031284a5a/tests/test_load.py#L312-L316

(though I have to change the variable name `m_combined_path` to `m_url` or something)

I guess it's ok to remove this check for now :)
This PR removes a check that's been added in #2684. My intention with this check was to capture an URL in the error message, but instead, it captures a substring of the previous regex match in the test function. Another option would be to replace this check with:
```python
m_paths = re.findall(r"\S*_dummy/_dummy.py\b", str(exc_info.value))  # on Linux this will match an URL as well as a local_path due to different os.sep, so take the last element (an URL always comes last in the list)
assert len(m_paths) > 0 and is_remote_url(m_paths[-1])  # is_remote_url comes from datasets.utils.file_utils
```

@lhoestq Let me know which one of these two approaches (delete or replace) do you prefer?