Added message to pytest raises for test_constructor_dict
- [x] ref #30999 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x]  added message to pytest.raises for test_constructor_dict

Thanks @simonjayhawkins  @MarcoGorelli  :)

Merged and pushed. thanks @DominicG88 