ENH: clearer error message if read_hdf loads upsupported HDF file (GH9539)
- [x] closes #9539
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The error message changed since the original bug report but still could be made more clear.