[data] Fix Databricks host URL handling in Ray Data (#49926)

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## Why are these changes needed?

The current Databricks integration in Ray Data requires providing the
Databricks host URL without the "https://" prefix. However, this creates
compatibility issues when using Ray Data alongside MLflow, as MLflow's
Databricks integration (which uses the same DATABRICKS_HOST environment
variable) expects the URL to include the "https://" prefix.

## Related issue number

Closes #49925 

## Checks

- [ ] I've signed off every commit(by using the -s flag, i.e., `git
commit -s`) in this PR.
- [ ] I've run `scripts/format.sh` to lint the changes in this PR.
- [ ] I've included any doc changes needed for
https://docs.ray.io/en/master/.
- [ ] I've added any new APIs to the API Reference. For example, if I
added a
method in Tune, I've added it in `doc/source/tune/api/` under the
           corresponding `.rst` file.
- [ ] I've made sure the tests are passing. Note that there might be a
few flaky tests, see the recent failures at https://flakey-tests.ray.io/
- Testing Strategy
   - [ ] Unit tests
   - [ ] Release tests
   - [ ] This PR is not tested :(

---------

Signed-off-by: Gil Leibovitz <gil.leibovitz@doubleverify.com>
Signed-off-by: Richard Liaw <rliaw@berkeley.edu>
Co-authored-by: Gil Leibovitz <gil.leibovitz@doubleverify.com>
Co-authored-by: Richard Liaw <rliaw@berkeley.edu>

Author: 3 people

python/ray/data/_internal/datasource/databricks_uc_datasource.py

@@ -37,7 +37,10 @@ def __init__(
         self.schema = schema
         self.query = query
 
-        url_base = f"https://{self.host}/api/2.0/sql/statements/"
+        if not host.startswith(("http://", "https://")):
+            self.host = f"https://{host}"
+
+        url_base = f"{self.host}/api/2.0/sql/statements/"
 
         payload = json.dumps(
             {