BUG: read_csv ignoring non existing header rows for python engine
- [x] closes #47400 (Replace xxxx with the Github issue number)
- [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).
- [x] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [x] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Initially, I thought this would be a case for deprecation, but this was simply a bug and was supposed to work before.
Also, I aligned the error message of the python parser with the c parser

Thanks @phofl 