CI/TST: Use tm.external_error_raised for test_from_arrow_respecting_given_dtype_unsafe
Appears that pyarrow changed the exception message that we were matching against, so we should be using `external_error_raised` instead 

e.g. https://github.com/pandas-dev/pandas/actions/runs/12281514975/job/34270563333?pr=60541 

Looks like `test_from_arrow_respecting_given_dtype_unsafe` is passing now on `pyarrow-nightly` so merging