Cross-Silo Horizontal Loading all datasets to all clientes

From what I can see, on every example for cross-silo FL, the datasets of all clients are loaded into memory. For example [here](https://github.com/FedML-AI/FedML/blob/master/python/examples/cross_silo/grpc_fedavg_mnist_lr_example/custom_data_and_model/torch_client.py).

It would be nice to add a way for clients to load their individual datasets as it would probably needed in production.