[Py-client] Print Dataset is closed error msg if user continues to fetch from it

[HTHou]

Description

Implement #14001 in python client

Before:

After:

[sonarqubecloud]

Quality Gate passed

Issues
0 New issues
0 Accepted issues

Measures
0 Security Hotspots
0.0% Coverage on New Code
0.0% Duplication on New Code

See analysis details on SonarQube Cloud

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 39.65%. Comparing base (70691e4) to head (867e11c).
Report is 12 commits behind head on master.

Additional details and impacted files

@@             Coverage Diff              @@
##             master   #14396      +/-   ##
============================================
- Coverage     39.66%   39.65%   -0.01%     
  Complexity      185      185              
============================================
  Files          4327     4327              
  Lines        274909   275001      +92     
  Branches      33385    33410      +25     
============================================
+ Hits         109032   109060      +28     
- Misses       165877   165941      +64     

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