fix: Edit confusing warning message with fsspec URL

[ComputingVictor]

Warning message that caused confusion using fsspec URL's.

Solves #19150

Adds

A file URL was detected.
Ensure the scheme (local://) is well-formed and supported.
For better performance, use direct local file paths.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 79.79%. Comparing base (2e0438b) to head (f18041f).

Additional details and impacted files

@@            Coverage Diff             @@
##             main   #19165      +/-   ##
==========================================
- Coverage   79.82%   79.79%   -0.03%     
==========================================
  Files        1532     1532              
  Lines      208488   208490       +2     
  Branches     2913     2415     -498     
==========================================
- Hits       166416   166359      -57     
- Misses      41521    41585      +64     
+ Partials      551      546       -5     

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