Custom `dl_manager` in `load_dataset`

### Feature request
https://github.com/huggingface/datasets/blob/4.0.0/src/datasets/load.py#L1411-L1418

```

def load_dataset(
...
dl_manager: Optional[DownloadManager] = None, # add this new argument
**config_kwargs,
) -> Union[DatasetDict, Dataset, IterableDatasetDict, IterableDataset]:

...

# Create a dataset builder
builder_instance = load_dataset_builder(
path=path,
name=name,
data_dir=data_dir,
data_files=data_files,
cache_dir=cache_dir,
features=features,
download_config=download_config,
download_mode=download_mode,
revision=revision,
token=token,
storage_options=storage_options,
**config_kwargs,
)

# Return iterable dataset in case of streaming
if streaming:
return builder_instance.as_streaming_dataset(split=split)

# Note: This is the revised part
if dl_manager is None:
if download_config is None:
download_config = DownloadConfig(
cache_dir=builder_instance._cache_downloaded_dir,
force_download=download_mode == DownloadMode.FORCE_REDOWNLOAD,
force_extract=download_mode == DownloadMode.FORCE_REDOWNLOAD,
use_etag=False,
num_proc=num_proc,
token=builder_instance.token,
storage_options=builder_instance.storage_options,
) # We don't use etag for data files to speed up the process

dl_manager = DownloadManager(
dataset_name=builder_instance.dataset_name,
download_config=download_config,
data_dir=builder_instance.config.data_dir,
record_checksums=(
builder_instance._record_infos or verification_mode == VerificationMode.ALL_CHECKS
),
)

# Download and prepare data
builder_instance.download_and_prepare(
download_config=download_config,
download_mode=download_mode,
verification_mode=verification_mode,
dl_manager=dl_manager, # pass the new argument
num_proc=num_proc,
storage_options=storage_options,
)

...

```

### Motivation

In my case, I'm hoping to deal with the cache files downloading manually (not using hash filenames and save to another location, or using potential existing local files).

### Your contribution

It's already implemented above. If maintainers think this should be considered, I'll open a PR.