BUG: misleading error creating df from 2d array
- [x] closes #42463
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

`FAILED pandas/core/groupby/groupby.py::pandas.core.groupby.groupby.GroupBy.apply`
Failure unrelated to my change @debnathshoham lgtm. can you add a whatsnew note (bug fixes for reshaping for 1.4 is good), a short note about the revised error that a user would see. ping on green. @jreback Green-ish (unrelated failures) thanks @debnathshoham 