load_from_disk and save_to_disk are not compatible with each other
Though I see a stream of issues open by people lost between datasets and datasets dicts so maybe there is here something that could be better in terms of UX. Could be better error handling or something else smarter to even avoid said errors but maybe we should think about this. Reopening to use this issue as a discussion place but feel free to open a new open if you prefer @lhoestq @albertvillanova 
## Describe the bug
load_from_disk and save_to_disk are not compatible. When I use save_to_disk to save a dataset to disk it works perfectly but given the same directory load_from_disk throws an error that it can't find state.json. looks like the load_from_disk only works on one split

## Steps to reproduce the bug
```python
from datasets import load_dataset
dataset = load_dataset("art")
dataset.save_to_disk("mydir")
d = Dataset.load_from_disk("mydir")
```

## Expected results
It is expected that these two functions be the reverse of each other without more manipulation

## Actual results
FileNotFoundError: [Errno 2] No such file or directory: 'mydir/art/state.json'

## Environment info
- `datasets` version: 1.6.2
- Platform: Linux-5.4.0-73-generic-x86_64-with-Ubuntu-18.04-bionic
- Python version: 3.7.10
- PyTorch version (GPU?): 1.8.1+cu102 (True)
- Tensorflow version (GPU?): not installed (NA)
- Using GPU in script?: <fill in>
- Using distributed or parallel set-up in script?: <fill in>


load_from_disk and save_to_disk are not compatible with each other 
 ## Describe the bug
load_from_disk and save_to_disk are not compatible. When I use save_to_disk to save a dataset to disk it works perfectly but given the same directory load_from_disk throws an error that it can't find state.json. looks like the load_from_disk only works on one split

## Steps to reproduce the bug
```python
from datasets import load_dataset
dataset = load_dataset("art")
dataset.save_to_disk("mydir")
d = Dataset.load_from_disk("mydir")
```

## Expected results
It is expected that these two functions be the reverse of each other without more manipulation

## Actual results
FileNotFoundError: [Errno 2] No such file or directory: 'mydir/art/state.json'

## Environment info
- `datasets` version: 1.6.2
- Platform: Linux-5.4.0-73-generic-x86_64-with-Ubuntu-18.04-bionic
- Python version: 3.7.10
- PyTorch version (GPU?): 1.8.1+cu102 (True)
- Tensorflow version (GPU?): not installed (NA)
- Using GPU in script?: <fill in>
- Using distributed or parallel set-up in script?: <fill in>

 
 Though I see a stream of issues open by people lost between datasets and datasets dicts so maybe there is here something that could be better in terms of UX. Could be better error handling or something else smarter to even avoid said errors but maybe we should think about this. Reopening to use this issue as a discussion place but feel free to open a new open if you prefer @lhoestq @albertvillanova 