Enforce eval shuffle warning only for default samplers

[rohitgr7]

What does this PR do?

Fixes #12648
Fixes #11856

For reviewers: a179fdc is the only commit that needs review. Rest is just moving tests from test_data_loading to test_data_connector since we have deprecated data_loading. Moved them since it becomes hard to find tests that belong to data_connector.

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[rohitgr7]

for reviewers: a179fdc is the only commit that needs review. Rest is just moving tests from test_data_loading to test_data_connector since we have deprecated data_loading. Moved them since it becomes hard to find tests that belong to data_connector.

[krshrimali]

Thanks! LGTM