BUG: Improve error message when tansfrom() with incorrect axis

pandas/core/apply.py

@@ -628,7 +628,7 @@ def normalize_dictlike_arg(
 
             cols = Index(list(func.keys())).difference(obj.columns, sort=True)
             if len(cols) > 0:
-                raise KeyError(f"Column(s) {list(cols)} do not exist")
+                raise KeyError(f"Row(s) or Column(s) {list(cols)} do not exist")
 
         aggregator_types = (list, tuple, dict)
 

pandas/tests/apply/test_invalid_arg.py

@@ -359,3 +359,15 @@ def test_transform_reducer_raises(all_reductions, frame_or_series, op_wrapper):
     msg = "Function did not transform"
     with pytest.raises(ValueError, match=msg):
         obj.transform(op)
+
+
+def test_transform_missing_labels_raises():
+    # GH 58474
+    df = DataFrame({"foo": [2, 4, 6], "bar": [1, 2, 3]}, index=["A", "B", "C"])
+    msg = r"Row\(s\) or Column\(s\) \['A', 'B'\] do not exist"
+    with pytest.raises(KeyError, match=msg):
+        df.transform({"A": lambda x: x + 2, "B": lambda x: x * 2}, axis=0)
+
+    msg = r"Row\(s\) or Column\(s\) \['bar', 'foo'\] do not exist"
+    with pytest.raises(KeyError, match=msg):
+        df.transform({"foo": lambda x: x + 2, "bar": lambda x: x * 2}, axis=1)