Document better that loading a dataset passing its name does not use the local script
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['Thanks for the feedback!\r\n\r\nI think since this issue is closely related to loading, I can add a clearer explanation under [Load > local loading script](https://huggingface.co/docs/datasets/main/en/loading#local-loading-script).'
 'That makes sense but I think having a line about it under https://huggingface.co/docs/datasets/installation#source the "source" header here would be useful. My mental model of `pip install -e .` does not include the fact that the source files aren\'t actually being used. '
 "Thanks for sharing your perspective. I think the `load_dataset` function is the only one that pulls from GitHub, and since this use-case is very specific, I don't think we need to include such a broad clarification in the Installation section.\r\n\r\nFeel free to check out the linked PR and let me know if it needs any additional explanation 😊"]
As reported by @TrentBrick here https://github.com/huggingface/datasets/issues/4725#issuecomment-1191858596, it could be more clear that loading a dataset by passing its name does not use the (modified) local script of it.

What he did:
- he installed `datasets` from source
- he modified locally `datasets/the_pile/the_pile.py` loading script
- he tried to load it but using `load_dataset("the_pile")` instead of `load_dataset("datasets/the_pile")`
  - as explained here https://github.com/huggingface/datasets/issues/4725#issuecomment-1191040245:
    - the former does not use the local script, but instead it downloads a copy of `the_pile.py` from our GitHub, caches it locally (inside `~/.cache/huggingface/modules`) and uses that.

He suggests adding a more clear explanation about this. He suggests adding it maybe in [Installation > source](https://huggingface.co/docs/datasets/installation))

CC: @stevhliu 
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