Small fix for local storage

[PaleNeutron]

Ensure localstorage folder is exist during init.

Description

I found although localstorage interface support write or update method, they are not actually used. They do not check folder exist during init and calling write method when only provider uri is exist will cause error.

Motivation and Context

no

How Has This Been Tested?

• [x] Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
• [ ] If you are adding a new feature, test on your own test scripts.

Screenshots of Test Results (if appropriate):

1. Pipeline test: (it is tested with temp fix from https://github.com/microsoft/qlib/issues/1547)
2. Your own tests:

Types of changes

• [x] Fix bugs
• [ ] Add new feature
• [x] Update documentation