Fix DefaultEgress_Failure

- Pass type info
- Avoid changing OptionsValidationException message

Author: sbomer

src/Tests/Microsoft.Diagnostics.Monitoring.Tool.UnitTests/CollectionRuleDefaultsTests.cs

@@ -73,7 +73,7 @@ await TestHostHelper.CreateCollectionRulesHost(_outputHelper, rootOptions =>
                         () => ActionTestsHelper.GetActionOptions<OptionsValidationException>(host, DefaultRuleName));
 
                 Assert.Equal(string.Format(OptionsDisplayStrings.ErrorMessage_NoDefaultEgressProvider), invalidOptionsException.Message);
-            });
+            }, TestValidatableTypes.AddValidation);
         }
 
         [Fact]

src/Tools/dotnet-monitor/DataAnnotationValidateOptions.cs

@@ -48,7 +48,7 @@ public ValidateOptionsResult Validate(string? name, TOptions options)
                     {
                         foreach (string memberName in memberNames)
                         {
-                            failures.Add($"{memberName}: {result.ErrorMessage}");
+                            failures.Add(result.ErrorMessage);
                         }
                     }
                     else