Use macro for exception raising

[MightyJosip]

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In #2371 we added support for one liner for setting exception and returning the value from the functions. If the return value is NULL, we have the same support for 10+ years. In this PR I replaced all the calls to PyErr_SetString (and returning the value) with those macros. There is still work to be done with PyErr_Format, but that would make this commit too big, so I will do that in the future.