check parser_dates names in columns
if column names are passed in parser_dates, make sure those
columns exist in dataframe.

- [x] closes #31251 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Hi @MomIsBestFriend , I have fixed it. Could you check again. I'm not sure why CI is failing. How do I investigate. I am restarting the CI, I can't see what's wrong All checks passed, could you review and merge. cc @gfyoung  closing as duplicate of #32320 