BUG: read csv not breaking lines for warn messages
- [x] closes #41710
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry

We should probably unify the warning messages too
great