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.
Changing the test is easy, there is an argument in that function which you can tell that the error is a TypeError and not a Deprecation one.