[2.0] Update Sparse Feature Related Error Message

[barry-jin]

Description

#20391
Update error message to well inform the user of the missing sparse feature in Gluon2.0 and NumPy interfaces.

Checklist

Essentials

• PR's title starts with a category (e.g. [BUGFIX], [MODEL], [TUTORIAL], [FEATURE], [DOC], etc)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• Code is well-documented

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[mxnet-bot]

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