[Bugfix][UC] Add back the full object path

[nancyhung]

What does this PR do?

In previous change, #2982 I dropped using the full object path self._get_object_path(object_name). This PR adds it back.

Testing

Works when modified the code in long-living pod in prod.

>>> llmfoundry.data.finetuning.dataloader._download_remote_hf_dataset('dbfs:/Volumes/finetuning/ift/train_vol', 'train')
'/usr/lib/python3/dist-packages/llmfoundry/.downloaded_finetuning/train'

confirmed file is downloaded in the directory

# head data/train-00000-of-00001.jsonl
{"prompt": "<|im_start|>system\nA conversation between a user and an LLM-based AI assistant.
...

What issue(s) does this change relate to?

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