xgboost benchmark datasets missing

[xwu-intel]

When benchmark using xgb_cpu_main_config.json. The following datasets are missing

WARNING: Dataset mlsr could not be loaded.
Check the correct name or expand the download in the folder dataset.
INFO: gbt algorithm: 1 case(s), 1 dataset(s)

WARNING: Dataset mortgage1Q could not be loaded.
Check the correct name or expand the download in the folder dataset.
INFO: gbt algorithm: 1 case(s), 1 dataset(s)

WARNING: Dataset plasticc could not be loaded.
Check the correct name or expand the download in the folder dataset.
INFO: gbt algorithm: 1 case(s), 1 dataset(s)

WARNING: Dataset santander could not be loaded.
Check the correct name or expand the download in the folder dataset.

[napetrov]

i think this would be addressed as part of #133