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 :(