Load Data From Multiple Files

Issue created based on discussion on .NET Discord.

ML.NET has the option to load data from multiple files that are either in a single directory or multiple directories so long as the data is format the same way across the different files.

The suggested feature is to enable this in tooling.

https://docs.microsoft.com/dotnet/machine-learning/how-to-guides/load-data-ml-net#load-data-from-multiple-files.