Add additional part of OpenML error message to exception message

[mfeurer]

This allows us to see the error message given by OpenML to simplify debugging.

[codecov-io]

Codecov Report

Merging #811 into develop will increase coverage by 0.02%.
The diff coverage is 100%.

@@             Coverage Diff             @@
##           develop     #811      +/-   ##
===========================================
+ Coverage    87.69%   87.71%   +0.02%     
===========================================
  Files           36       36              
  Lines         4234     4234              
===========================================
+ Hits          3713     3714       +1     
+ Misses         521      520       -1

Impacted Files	Coverage Δ
openml/_api_calls.py	84.61% <100%> (+1.49%)	⬆️
openml/exceptions.py	93.54% <100%> (-0.21%)	⬇️

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[PGijsbers]

It looks like this unit test still refers to the now-missing attribute. Please update and do a quick search through all files to see if there is other code attempting to directly set the attribute.