DEV: version 0.x issues that lay the foundation for version 1.0

[NickleDave]

This issue is a to-do list for issues that (1) can be fixed in version 0.x, now, but (2) also lay the groundwork for version 1.0.

I.e., they are features we want when we release 1.0, but they don't require any breaking changes to 0.x.

edit: moving most of these to #614

• ENH: Deprecate WindowDataset #555
• TST: Add initial benchmarking script in tests/integration to verify no change in results after switching to lightning #600

[NickleDave]

Looking at this again and given time constraints, might be better to just move this all to "end of the list for version 1.0".
Would motivate people to use new version anyway