Merge duplicate dataset creation tutorials and add BIDS dataset coverage

[Copilot]

• Understand the issue: Tutorial 4 and Tutorial 5 had identical titles "Creating a dataset class", causing user confusion. Neither mentioned BIDSDataset.
• Merge Tutorial 4 and Tutorial 5 into a single comprehensive tutorial with a unique title "Tutorial 4: Creating custom datasets"
• Add Section 1: BaseDataset — creating a dataset from scratch (from original tutorial 4)
• Add Section 2: BaseBIDSDataset / LocalBIDSDataset — BIDS dataset approaches (new content)
• Add Section 3: CompoundDataset — building from existing MOABB datasets (from original tutorial 5)
• Remove tutorial_5_build_a_custom_dataset.py (content merged into tutorial 4)
• Add what's new entry in docs/source/whats_new.rst assigned to Bruno Aristimunha
• Run pre-commit on all changed files — all hooks pass
• Run CodeQL security check — no alerts found

Original prompt

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This section details on the original issue you should resolve

<issue_title>Dataset creation tutorial(s) are confusing</issue_title>
<issue_description>Currently, we have two tutorials with the exact same title: Tutorial 4: Creating a dataset class and Tutorial 5: Creating a dataset class. This is confusing the the users and they should be merged.

In addition, none of these tutorials mentions extending the BIDSDataset, which makes it dataset creation extremely easy when the data is already provided in a BIDS format</issue_description>

Comments on the Issue (you are @copilot in this section)

• Fixes Dataset creation tutorial(s) are confusing #808

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[bruAristimunha]

@copilot, pre-commit, and what's new file, please, assign Bruno Aristimunha to what's new. Check if the tests or documentation are failing.

[Copilot]

@copilot, pre-commit, and what's new file, please, assign Bruno Aristimunha to what's new. Check if the tests or documentation are failing.

Done in commit 29f8655:

• pre-commit: Ran all hooks on the changed files — all pass (black, isort, ruff, codespell, etc.)
• what's new: Added an entry to docs/source/whats_new.rst in the Version 1.5 Enhancements section, attributed to Bruno Aristimunha
• CI: The only failing check was the "Check What's News Changes" workflow, which required an entry in whats_new.rst — that is now resolved.