ENH: Improve error message when constructing period with invalid freq
xref #55792, #52064

Improved error message when constructing period with offsets frequencies deprecated for period such as "ME" or "YE-DEC".

the reason: we see the error message: `Invalid frequency: "..."` instead of the message: `for Period, please use "..." instead of "..."`
@MarcoGorelli, could you please take a look at this PR? 