A way to display dataset error message

uhm... only idea I get is calling APIs I don't know if it works for your scenario but you could try...

I'm thinking to call the Power BI API to get refresh history for the dataset.

https://learn.microsoft.com/en-us/rest/api/power-bi/datasets/get-refresh-history#completed-refresh-example

keep in mind you can't call them natively at run time and using PQ in the same dataset refresh will only give you the history before the current refresh.

you could create another report that calls the apis for all the needed dataset and shows the result of these apis calls refreshing its dataset on-demand.

more experimental (I implemented this on a customer) calling APIs in realtime trough a caller like paginated reports.

https://medium.com/riccardo-perico/interactive-api-calls-from-power-bi-report-3e488ca8ffb6