MANT: more informative errors for 'axis' argument of ufuncs

This follows from the discussion in #5196, and unifies the errors returned by `PyArray_ConvertMultiAxis` in `conversion_utils.c`, with the similar code in `ufunc_object.c` to handle the `axis` parameter to ufunc reduction methods.
Heh, I didn't bother with such replacement in a lot of places personally. It can be nice to show the deprecation error I guess, but not sure if it is worth juggling around in c-code to get there?