ENH: Move warnings to error/__init__.py per GH27656
- [x] xref #27656. this GitHub issue is being done in multiple parts
- [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).

I noticed one of the strings didn't have a `Final` so I've added it. 

Besides the tslibs and OptionError errors, I think I've moved all the exceptions/warnings to the __errors.py. Is there anything else I should do?
In a follow up PR, you could maybe add a pre-commit hook to validate that errors are only defined in `pandas/_libs` or `pandas/errors/__init__.py` to close out the issue > In a follow up PR, you could maybe add a pre-commit hook to validate that errors are only defined in `pandas/_libs` or `pandas/errors/__init__.py` to close out the issue

Gotcha, I'll work on that next Thanks again @dataxerik! 