Incorrect error message when Dataset.from_sql fails and sqlalchemy not installed
COLLABORATOR
Hi! The first `Dataset.from_sql` call also outputs the "ImportError: Using URI string without sqlalchemy installed." message, but you also get "During handling of the above exception another exception occurred: ..." after which the ValueError is printed. I agree that this behavior makes it easy to miss the original error. 

I think we can improve this by not throwing the writer's ValueError if the error from a dataset script is already being handled to make debugging easier. @lhoestq @albertvillanova wdyt?
2022-11-02T15:00:40Z
https://github.com/huggingface/datasets/issues/5186#issuecomment-1300608028
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MEMBER
Yup ! Alternatively the error can be raised in sql.py before generating the examples ? In `_info` for example
2022-11-02T15:24:41Z
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CONTRIBUTOR
yea @lhoestq that would probably be good. The 2nd error is useless if the 1st error is the real reason it failed. 
2022-11-02T17:22:19Z
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### Describe the bug

When calling `Dataset.from_sql` (in my case, with sqlite3), it fails with a message ```ValueError: Please pass `features` or at least one example when writing data``` when I don't have `sqlalchemy` installed. 


### Steps to reproduce the bug

Make a new sqlite db with `sqlite3` and `pandas` from a remote [URL](https://raw.githubusercontent.com/nytimes/covid-19-data/master/us-states.csv).

```python
import sqlite3
import pandas as pd
from datasets import Dataset

conn = sqlite3.connect('us_covid_data.db')
df = pd.read_csv('https://raw.githubusercontent.com/nytimes/covid-19-data/master/us-states.csv')
df.to_sql('states', conn, if_exists='replace')
```

Then if you try to query this DB like this:

```python
ds = Dataset.from_sql('''SELECT * from states WHERE state=="New York";''', "sqlite:///us_covid_data.db")
```

You run into the error I described above:

```ValueError: Please pass `features` or at least one example when writing data```

However, if you try to pass features, as the error suggests, then you get an error that tells you the underlying problem...

```python
from datasets import Dataset, Features, Value

features = Features({
    'date': Value('date32'),
    'label': Value('string'),
    'fips': Value('int32'),
    'cases': Value('int32'),
    'deaths': Value('int32')
})
ds = Dataset.from_sql(
    '''SELECT * from states WHERE state=="New York";''',
    "sqlite:///us_covid_data.db",
    features=features
)
```

Which results in the actual underlying error: `ImportError: Using URI string without sqlalchemy installed.`

### Expected behavior

Instead of `ValueError` about needing to pass features, we should provide the actual underlying error about not having SQLAlchemy installed when it isn't found in the environment. 

### Environment info

- `datasets` version: 2.6.1
- Platform: macOS-10.16-x86_64-i386-64bit
- Python version: 3.8.10
- PyArrow version: 10.0.0
- Pandas version: 1.2.5