add match message for pytest.raises()
- [x] ref #30999 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

I'm not sure if I have broken something in the tests, the failures are from the modules which I haven't touched, waiting for the fixes in master. LGTM @jreback should be good to merge now. thanks @sathyz 