ENH: Improve explanation when erroring on dta files
Improve the explanation when value labels are repeated in Stata dta files.
Add suggested methods to work around the issue using the low level
interface.

closes #25772

- [x] closes #25772
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
