[BUG] Remove code failure caused due to certain combination of parameters inside `_load_provided_dataset()`

[achieveordie]

Reference Issues/PRs

Fixes #3169

What does this implement/fix? Explain your changes.

• Modify _load_provided_dataset() under datasets/_data_io.py to inhibit failures from data-type conversions.
• Add return_type parameter to load_UCR_UEA_dataset() under datasets/_single_problem_loaders.py giving even more flexibility.

PR checklist

For all contributions

• [ ] I've added unit tests and made sure they pass locally.
• [x] The PR title starts with either [ENH], [MNT], [DOC], or [BUG] indicating whether the PR topic is related to enhancement, maintenance, documentation, or bug.