Improve error logging

[mfeurer]

This branch makes tracking errors easier. It

• adds the url to the OpenMLServerException to actually know which call failed
• makes sure the whole dataset arff is downloaded by checking the md5hash

[codecov-io]

Codecov Report

Merging #372 into develop will increase coverage by 0.04%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           develop    #372      +/-   ##
==========================================
+ Coverage    89.56%   89.6%   +0.04%     
==========================================
  Files           32      32              
  Lines         2577    2587      +10     
==========================================
+ Hits          2308    2318      +10     
  Misses         269     269

Impacted Files	Coverage Δ
openml/exceptions.py	100% <100%> (ø)	⬆️
openml/_api_calls.py	88.88% <100%> (ø)	⬆️
openml/datasets/functions.py	90.56% <100%> (+0.36%)	⬆️

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