Only download arff if required

[PGijsbers]

Progress in #1032. I think it's mostly there but I need a little time to think it over and see how well this is covered by the test server, since there mostly are not parquet files available.

edit: added a check to an existing test which I think covers it well enough. Especially since we need to update/rewrite some of the tests with lazy loading being on by default. This I will do in a separate PR.

[codecov-commenter]

Codecov Report

Attention: Patch coverage is 88.88889% with 3 lines in your changes missing coverage. Please review.

Project coverage is 84.19%. Comparing base (de983ac) to head (f41a1c6).
Report is 2 commits behind head on develop.

Files with missing lines	Patch %	Lines
openml/datasets/dataset.py	86.36%	3 Missing ⚠️

Additional details and impacted files

@@ Coverage Diff @@## develop #1346 +/- ##
===========================================
+ Coverage 83.88% 84.19% +0.31% 
===========================================
Files 38 38 Lines 5261 5271 +10 ===========================================
+ Hits 4413 4438 +25 + Misses 848 833 -15 

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[LennartPurucker]

LGTM, I only have one question.

I am unsure about the tests, but I trust that you know best how reliable they are right now.