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.
I think it was [these](https://github.com/numpy/numpy/blob/master/numpy/core/tests/test_deprecations.py#L243) that were failing. By default `assert_deprecated` is looking for a `DeprecationWarning`, but it was getting a `TypeError`. We could fool around with the tests to make them pass and have a more direct error raising here, but it is probably not that bad of a thing that we re-raise what `PyArray_PyIntAsInt` is raising.