BUG: raise a ParserWarning instead of printing to stderr when on_bad_lines is true
Fixes the bug discussed on #54296 
- [x] closes #54296
- [ ] [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. (**No new arguments/method/functions.**)
- [x] Added an entry in the latest `doc/source/whatsnew/v2.1.0.rst` file if fixing a bug or adding a new feature.


This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. Thanks for the pull request, but it appears to have gone stale. If interested in continuing, please merge in the main branch, address any review comments and/or failing tests, and we can reopen.