Fix misleading error when feature names are missing during inference (#10814)

python-package/xgboost/core.py

@@ -3129,7 +3129,7 @@ class Booster:
 
         if feature_names is None and self.feature_names is not None:
             raise ValueError(
-                "training data did not have the following fields: "
+                "data did not contain feature names, but the following fields are expected: "
                 + ", ".join(self.feature_names)
             )