[SPARK-44816][CONNECT] Improve error message when UDF class is not found

### What changes were proposed in this pull request?

Improve the error messaging on the connect client when using
a UDF whose corresponding class has not been sync'ed with the
spark connect service.

Prior to this change, the client receives a cryptic error:

```
Exception in thread "main" org.apache.spark.SparkException: Main$
```

With this change, the message is improved to be:

```
Exception in thread "main" org.apache.spark.SparkException: Failed to load class: Main$. Make sure the artifact where the class is defined is installed by calling session.addArtifact.
```

### Why are the changes needed?

This change makes it clear to the user on what the error is.

### Does this PR introduce _any_ user-facing change?

Yes. The error message is improved. See details above.

### How was this patch tested?

Manually by running a connect server and client.

Closes apache#42500 from nija-at/improve-error.

Authored-by: Niranjan Jayakar <nija@databricks.com>
Signed-off-by: Herman van Hovell <herman@databricks.com>

connector/connect/server/src/main/scala/org/apache/spark/sql/connect/planner/SparkConnectPlanner.scala

@@ -1523,6 +1523,11 @@ class SparkConnectPlanner(val sessionHolder: SessionHolder) extends Logging {
               s"Failed to load class correctly due to $nsm. " +
                 "Make sure the artifact where the class is defined is installed by calling" +
                 " session.addArtifact.")
+          case cnf: ClassNotFoundException =>
+            throw new ClassNotFoundException(
+              s"Failed to load class: ${cnf.getMessage}. " +
+                "Make sure the artifact where the class is defined is installed by calling" +
+                " session.addArtifact.")
           case _ => throw t
         }
     }