Add dataset setup tests

[priyakasimbeg]

Description

Most of the code in data_setup.py is untested.
There are a few challenges for these tests:

• datasets are very large (total just under 2TB total I believe)
• some of them require manual steps (getting the links after signing the user agreements etc, I don't think we can check in the urls).
  We can at a minimum test the datasets that are downloaded via tfds (ogbg and wmt) and add some unit tests for the other datasets.