Streaming with num_workers != 0
## Describe the bug
When using dataset streaming with pytorch DataLoader, the setting num_workers to anything other than 0 causes the code to freeze forever before yielding the first batch.

The code owner is likely @lhoestq 

## Steps to reproduce the bug

For your convenience, we've prepped a colab notebook that reproduces the bug
https://colab.research.google.com/drive/1Mgl0oTZSNIE3UeGl_oX9wPCOIxRg19h1?usp=sharing
```python
!pip install datasets==1.14.0

should_freeze_forever = True
# ^-- set this to True in order to freeze forever, set to False in order to work normally

import torch
from datasets import load_dataset

data = load_dataset("oscar", "unshuffled_deduplicated_bn", split="train", streaming=True)
data = data.map(lambda x: {"text": x["text"], "orig": f"oscar[{x['id']}]"}, batched=True)
data = data.shuffle(100, seed=1337)

data = data.with_format("torch")
loader = torch.utils.data.DataLoader(data, batch_size=2, num_workers=2 if should_freeze_forever else 0)

# v-- the code should freeze forever at this line
for i, row in enumerate(loader):
  print(row)
  if i > 10: break
print("DONE!")
```

## Expected results
The code should not freeze forever with num_workers=2

## Actual results
The code freezes forever with num_workers=2

## Environment info
- `datasets` version: 1.14.0 (also found in previous versions)
- Platform: google colab (also locally)
- Python version: 3.7, (also 3.8)
- PyArrow version: 3.0.0

