Fix DataFrame.from_records error message

Make `create_block_manager_from_arrays` error message use the correct dimensions.  This is different from the situation in `create_block_manager_from_blocks` because in that method the blocks are concatenated along their first dimension, whereas in this method the arrays are concatenated along a new dimension.

Also fix `test_from_records_to_records`, which specified a misleading error message when the shape of the input data did not match the shape implied by the indices.  In particular, the error message omitted the offending dimension entirely!
Merge pull request #8294 from ischwabacher/patch-2

ERR: DataFrame.from_records raises misleading exception on shape mismatch