[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 Job ID Name Coverage
  Build
passed #185869
docker
build_linux_36

00:02:50

73.0%
passed #185870
docker
build_linux_37

00:02:48

73.0%
passed #185867
macosx
build_macosx_36

00:02:44

73.0%
passed #185868
macosx
build_macosx_37

00:02:40

73.0%