Backport PR #39546 on branch 1.2.x (CI/TST: update exception message, xfail)
Backport PR #39546: CI/TST: update exception message, xfail
hmm 3.8_locale failing with an odd one: https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=53435&view=logs&j=b1c7b65e-b3ce-541a-7fd5-29b4ba56ce18&t=46ecc253-e38f-5abc-2ea7-addca6b44d0a

but ignoring for now.