Fixed documentation error link

[UP929312]

Summary

Currently the message is just plain-text, this PR fixes it so it points to the message object.

Information

• This PR fixes an issue.
• This PR adds something new (e.g. new method or parameters).
• This PR is a breaking change (e.g. methods or parameters removed/renamed).
• This PR is not a code change (e.g. documentation, README, typehinting, examples, ...).

Checklist

• I have searched the open pull requests for duplicates.
• If code changes were made then they have been tested.
  • I have updated the documentation to reflect the changes.
• If type: ignore comments were used, a comment is also left explaining why.