Improve error message when loading models from Hub
# What does this PR do?

Improves the error message when loading a model from the Hub that is the same name as a local directory.

I encountered an issue where I couldn't load `gpt2` from the Hub, and it turned out to be because there was a local directory named `gpt2` that was not the saved model. I do not seem to be the only person who's discovered this issue, as can be seen by <https://github.com/huggingface/transformers/issues/8661>, <https://github.com/huggingface/transformers/issues/10918#issuecomment-877807753>, and <https://github.com/huggingface/transformers/issues/13073>. I therefore decided to improve the error message to make the problem easier to catch. I made the change everywhere in the codebase I could find.

I'm not entirely satisfied with the new wording, but trying to completely describe the name collision problem in a short message is difficult. I'd appreciate any suggestions. One thought I had was to swap the order of the first two bullets to make it more clear that local files and directories have priorities, but I wasn't sure whether that would really help.

## Who can review?

- tokenizers: @n1t0, @LysandreJik
@sgugger, I wasn't fond of the message either, so I applied your new wording to all the files. Thanks for the suggestion!