[FEA] Clarify non-existent subdirectory error messages for file writers

[randerzander]

With latest cudf nightlies, attempting to write a file to a non-existend subdirectory fails as expected (matching Pandas), but the error is unclear:

RuntimeError: cuDF failure at: ../src/io/utilities/data_sink.cpp:36: Cannot open output file

Pandas's is a bit better:

IOError: [Errno 2] No such file or directory: './dir/name.csv'

It would be helpful for users to know if the write fails because the subdirectory didn't exist, as opposed to some other permissions or worse (if writing to a distributed fs) error.

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[github-actions[bot]]

This issue has been labeled inactive-90d due to no recent activity in the past 90 days. Please close this issue if no further response or action is needed. Otherwise, please respond with a comment indicating any updates or changes to the original issue and/or confirm this issue still needs to be addressed.

[rnyak]

I get same error RuntimeError: cuDF failure at: ....: Cannot open output file when the subdirectory doesn't exist but the error msg is not informative.. it is hard to tell what's the issue. I agree that It would be helpful for users to know that this is because the subdirectory doesn't exist.