[data] Improve CachedDataSink error messages

If the opening of the cache file fails, print an error
message to know where to look at.
4 jobs for improve_cached_datasink_error in 2 minutes and 50 seconds (queued for 1 second)
Status Name Job ID Coverage
  Build
passed build_linux_36 #185869
docker

00:02:50

73.0%
passed build_linux_37 #185870
docker

00:02:48

73.0%
passed build_macosx_36 #185867
macosx

00:02:44

73.0%
passed build_macosx_37 #185868
macosx

00:02:40

73.0%