ERR: Improve error message when assigning a complete row using 'at' m…
Better error reporting when trying to assign a new row using 'at' method

- [x] closes #48729 
- [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
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
Thanks @ambujpawar  Shall we backport this to 1.5.x? 
Re-reading https://github.com/pandas-dev/pandas/issues/48729, we started to raise the incomprehensible error in 1.5.0 (it actually worked before) Sure, makes sense to backport @Meeseeksdev backport 1.5.x