save_to_disk doesn't work when we use concatenate_datasets function before creating the final dataset_object.
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Hi ! We refactored save_to_disk in #2025 so this doesn't happen.
Feel free to try it on master for now
We'll do a new release soon
As you can see, it saves the entire dataset.

@lhoestq 

You can  check by going through the following example,

```
from datasets import load_from_disk,concatenate_datasets

loaded_data=load_from_disk('/home/gsir059/HNSW-ori/my_knowledge_dataset')
n=20
kb_list=[loaded_data.shard(n, i, contiguous=True) for i in range(n)]
final_dataset=concatenate_datasets([kb_list[1],kb_list[2]])
final_dataset.save_to_disk('/home/gsir059/haha/k.arrow')
```
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