MINOR: [R][Docs] Improve error message around add_filename #37372
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Rationale for this change
Before this change, it's difficult for the user to not get stuck when they run into an error trying to use the result of add_filename in subsequent pipeline steps.
What changes are included in this PR?
Are these changes tested?
Yes. Tests were updated and confirmed to pass.
Are there any user-facing changes?
No.