[backport 2.3.x] TST (string dtype): fix groupby xfails with using_infer_string + update error message (#59430)
(cherry picked from commit e5dd89d4d74d8e2a06256023717880788f2b10ed)

Backport of https://github.com/pandas-dev/pandas/pull/59430
Looks like some of the error messages on this branch need updating too