TST: GH30999 Add match=msg to all pytest.raises in tests/indexes
This pull request partially addresses xref #30999 to remove bare pytest.raises by adding match=msg. It doesn't close that issue as I have only addressed modules in pandas/tests/indexes

I made a few of the raised errors more specific types. There are two other changes that are a bit more complex but I will put specific comments on the code lines to explain those.

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