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MINOR: [R][Docs] Improve error message around add_filename (#37372)

### Rationale for this change

Before this change, it's difficult for the user to not get stuck when they run into an error trying to use the result of add_filename in subsequent pipeline steps.

### What changes are included in this PR?

- Update error message string now includes advice
- Updated docs page for add_filename including an example

### Are these changes tested?

Yes. Tests were updated and confirmed to pass.

### Are there any user-facing changes?

No.

Authored-by: Bryce Mecum <petridish@gmail.com>
Signed-off-by: Dewey Dunnington <dewey@fishandwhistle.net>