SNOW-1300193: Add error message when trying to read from local directory

[sfc-gh-jrose]

1. Which Jira issue is this PR addressing? Make sure that there is an accompanying issue to your PR.

   Fixes SNOW-1300193

2. Fill out the following pre-review checklist:

   • [ ] I am adding a new automated test(s) to verify correctness of my new code
     • [ ] If this test skips Local Testing mode, I'm requesting review from @snowflakedb/local-testing
   • [ ] I am adding new logging messages
   • [ ] I am adding a new telemetry message
   • [ ] I am adding new credentials
   • [ ] I am adding a new dependency
   • [ ] If this is a new feature/behavior, I'm adding the Local Testing parity changes.
   • [x] I acknowledge that I have ensured my changes to be thread-safe. Follow the link for more information: Thread-safe Developer Guidelines

3. Please describe how your code solves the related issue.

   This change adds an error message for when DataframeReader is passed a non-stage path. The SQL error for this case can be confusing to users so having a more direct error is desirable.