MAINT: Improve wording of set_data error message

[stefan6419846]

No description provided.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 95.86%. Comparing base (9f08cd0) to head (ef9518e).
Report is 77 commits behind head on main.

Additional details and impacted files

@@           Coverage Diff           @@
##             main    #2810   +/-   ##
=======================================
  Coverage   95.86%   95.86%           
=======================================
  Files          51       51           
  Lines        8576     8576           
  Branches     1696     1696           
=======================================
  Hits         8221     8221           
  Misses        212      212           
  Partials      143      143           

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