ENH: improve optional import error message
- [x] closes #61521 (Replace xxxx with the GitHub issue number)
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

I'm not sure how to fix the CI errors: 
```
Error: Failed to CreateArtifact: Received non-retryable error: Failed request: (409) Conflict: an artifact with this name already exists on the workflow run
``` One change is missing: https://github.com/pandas-dev/pandas/blob/675c81c9dc82ff9be797c94f3fc8dddb5dc44894/pandas/tests/io/test_parquet.py#L337
I expect the CI will pass once that’s fixed. thanks @yuanx749, confirmed on the previous CI errors that the fastparquet was the issue @rhshadrach - can you kindly review this? thanks! Thanks @KevsterAmp 