TST: GH30999 add match=msg to all pytest.raises in pandas/tests/window
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 test modules in the pandas/tests/window/ directory.

I have added `match=msg` to 3 instances of `pytest.raises` and converted another to a `tm.external_error_raised`. Nothing complicated or controversial, imo.

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