[kbn-test] improve saml auth failure logging (#208216)

## Summary

sometimes we face failure during saml authentication and error message
is not very helpful:

```
Error: Failed to parse 'set-cookie' header
    at getCookieFromResponseHeaders (packages/kbn-test/src/auth/saml_auth.ts:61:11)
    at finishSAMLHandshake (packages/kbn-test/src/auth/saml_auth.ts:280:10)
    at createLocalSAMLSession (packages/kbn-test/src/auth/saml_auth.ts:333:18)
```

With this change we should know when it happened:

- we create SAML request by calling `/internal/security/login
- we finish SAML handshake by calling  `/api/security/saml/callback`

I also hope `response.data` to be useful for investigation

packages/kbn-test/src/auth/saml_auth.test.ts

@@ -230,7 +230,7 @@ describe('saml_auth', () => {
       });
 
       expect(createSAMLRequest('https://kbn.test.co', '8.12.0', log)).rejects.toThrow(
-        `Failed to parse 'set-cookie' header`
+        /Failed to parse cookie from SAML response headers: no 'set-cookie' header, response.data:/
       );
     });
 
@@ -332,7 +332,9 @@ https://kbn.test.co in the same window.`);
           sid: 'Fe26.2**1234567890',
           log,
         })
-      ).rejects.toThrow(`Failed to parse 'set-cookie' header`);
+      ).rejects.toThrow(
+        /Failed to get cookie from SAML callback response: no 'set-cookie' header, response.data:/
+      );
     });
   });
 });

packages/kbn-test/src/auth/saml_auth.ts

@@ -58,7 +58,9 @@ const cleanException = (url: string, ex: any) => {
 const getCookieFromResponseHeaders = (response: AxiosResponse, errorMessage: string) => {
   const setCookieHeader = response?.headers['set-cookie'];
   if (!setCookieHeader) {
-    throw new Error(`Failed to parse 'set-cookie' header`);
+    throw new Error(
+      `${errorMessage}: no 'set-cookie' header, response.data: ${JSON.stringify(response?.data)}`
+    );
   }
 
   const cookie = parseCookie(setCookieHeader![0]);
@@ -289,7 +291,7 @@ export const finishSAMLHandshake = async ({
 
   return getCookieFromResponseHeaders(
     authResponse,
-    'Failed to get cookie from SAML callback response headers'
+    'Failed to get cookie from SAML callback response'
   );
 };