## What changes were proposed in this pull request?
Similar to https://github.com/apache/spark/pull/24070, we now propagate SparkExceptions that are encountered during the collect in the java process to the python process.
Fixes https://jira.apache.org/jira/browse/SPARK-27805
## How was this patch tested?
Added a new unit test
Closes#24677 from dvogelbacher/dv/betterErrorMsgWhenUsingArrow.
Authored-by: David Vogelbacher <dvogelbacher@palantir.com>
Signed-off-by: Bryan Cutler <cutlerb@gmail.com>