BUG: read_msgpack raise an error when passed an non existent path in Python 2
 - [ ] closes #15296
 - [x] 11 tests added / passed
 - [x] passes ``git diff upstream/master --name-only -- '*.py' | flake8 --diff``
 - [x] whatsnew entry

This PR adds tests to check that a suitable error is raised when a non existent path is passed to `pd.read_xxxxx()`.

A fix is also included for `read_msgpack` with python 2 which works by checking that the first byte of the passed string is `>= 0x80`. So far as I can tell these are [reserved and unused by pandas](https://github.com/msgpack/msgpack/blob/master/spec.md#types-extension-type) so I think this shouldn't break any existing functionality.