Use raise .. from .. to explicitly chain exceptions (#3750)

[nrupatunga]

• Fix exception chaining

• names

• Change exception names for consistency

Co-authored-by: Nicki Skafte skaftenicki@gmail.com

• Change exception names for consistency

Co-authored-by: Nicki Skafte skaftenicki@gmail.com

Co-authored-by: Jirka Borovec jirka@pytorchlightning.ai
Co-authored-by: Nicki Skafte skaftenicki@gmail.com

What does this PR do?

Fixes # (issue)

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