fix loky/concurrency issue (#1042)

openml/config.py

@@ -231,15 +231,6 @@ def _get(config, key):
     connection_n_retries = int(_get(config, "connection_n_retries"))
     max_retries = int(_get(config, "max_retries"))
 
-    if cache_exists:
-        _create_log_handlers()
-    else:
-        _create_log_handlers(create_file_handler=False)
-        openml_logger.warning(
-            "No permission to create OpenML directory at %s! This can result in OpenML-Python "
-            "not working properly." % config_dir
-        )
-
     cache_directory = os.path.expanduser(short_cache_dir)
     # create the cache subdirectory
     if not os.path.exists(cache_directory):
@@ -251,6 +242,15 @@ def _get(config, key):
                 "OpenML-Python not working properly." % cache_directory
             )
 
+    if cache_exists:
+        _create_log_handlers()
+    else:
+        _create_log_handlers(create_file_handler=False)
+        openml_logger.warning(
+            "No permission to create OpenML directory at %s! This can result in OpenML-Python "
+            "not working properly." % config_dir
+        )
+
     if connection_n_retries > max_retries:
         raise ValueError(
             "A higher number of retries than {} is not allowed to keep the "