Improve use of error wrapping throughout message handlers

[lumtis]

Describe the Issue

Example: #2630 (comment)

In many message handlers we use error wrapping in the way:

errors.Wrap([SDK defined error], [message])

for then in test use

require.ErrorIs(t, [SDK defined error], err)

This ends up in antipattern where we do:

errors.Wrap([SDK defined error], err.Error())

where err is error returned by called function.

We should refactor throughout the message handlers the way we construct and assert error, and wrap underlying errors