Better UX error for migrations

[uilianries]

I didn't find specific test file only related to Migrator or ClientMigrator, so I created an unit test to validate the current error message.

This change should affect more tests, as now save raises an error. Let's see ...

Changelog: Fix: Improve permission error message when migrating cache folder.
Docs: Omit

Related to #7948

/cc @ngrodzitski @memsharded

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^{Note: By default this PR will skip the slower tests and will use a limited set of python versions. Check here how to increase the testing level by writing some tags in the current PR body text.}

[uilianries]

I skipped Windows test because os.chmod has no effect under Windows folders, I would need other libraries, like pywin32 or oschmod.

The documentation is clear about Windows support: https://docs.python.org/2.7/library/os.html#os.chmod

Although Windows supports chmod(), you can only set the file’s read-only flag with it (via the stat.S_IWRITE and stat.S_IREAD constants or a corresponding integer value). All other bits are ignored.

It works for file only ...

For some reason, if I inject os.stat() before calling os.makedirs() it works, but I won't change save() only because a single test.

I also tried subprocess call with attrib +R dir_path /D but had no effect.