Some cleanups of merge_asof tests and error code
This is a follow-up to #26242, for the following points:
- [ ] Add test in `test_merge_asof.py` that checks that `merge_asof()` raises an exception if called on unordered categories for a merge key.
- [ ] Remove docstrings in tests in `test_merge_asof.py`
- [ ] Add test to check that `merge_asof` works when one of the merge keys is an ordered categorical
- [ ] Raise MergeError sooner (rather than the ValueError that happens later) when asked to do a merge and one of the keys is an unordered categorical.
- [ ] use `repr(x.dtype)` instead of `x.dtype` as input to `.format()` in exception messages everywhere in merge.py