ENH: improve optional import error message (#61597) #45789

Job	Run time
Test Conda Forge Recipe - Python 3.10	2m 16s
Test Conda Forge Recipe - Python 3.11	2m 10s
Install Extras - postgresql	4m 9s
Install Extras - pyarrow	4m 11s
Install Extras - spss	4m 4s
Install Extras - sql-other	4m 7s
Install Extras - xml	3m 56s
Install Extras - excel	4m 3s
Install Extras - clipboard	4m 21s
Install Extras - compression	4m 6s
Install Extras - parquet	4m 7s
Install Extras - all	5m 0s
Install Extras - test	4m 2s
Install Extras - gcp	4m 14s
Install Extras - performance	4m 7s
Install Extras - feather	4m 25s
Install Extras - html	4m 6s
Install Extras - mysql	4m 20s
Install Extras - plot	4m 11s
Install Extras - hdf5	4m 7s
Install Extras - output-formatting	4m 10s
Install Extras - computation	4m 7s
Install Extras - aws	4m 10s
Install Extras - fss	4m 39s
	1h 37m 8s

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