Improve load_weights and the test coverage.

[james77777778]

Fix #21404

This PR adds error msg in load_weights and increases test coverage.

Colab:
https://colab.research.google.com/drive/1f-Idlm_BMLmP-_gym0bSqCPz7bl7PAMu?usp=sharing

cc @DLumi

[codecov-commenter]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 82.75%. Comparing base (18ab462) to head (3601f4b).

Additional details and impacted files

@@            Coverage Diff             @@
##           master   #21454      +/-   ##
==========================================
+ Coverage   82.74%   82.75%   +0.01%     
==========================================
  Files         565      565              
  Lines       55300    55304       +4     
  Branches     8624     8626       +2     
==========================================
+ Hits        45756    45766      +10     
+ Misses       7439     7436       -3     
+ Partials     2105     2102       -3     

Flag	Coverage Δ
keras	82.56% <100.00%> (+0.01%)	⬆️
keras-jax	63.35% <100.00%> (+0.01%)	⬆️
keras-numpy	58.55% <100.00%> (+0.01%)	⬆️
keras-openvino	33.78% <0.00%> (-0.01%)	⬇️
keras-tensorflow	63.78% <100.00%> (+0.01%)	⬆️
keras-torch	63.38% <100.00%> (+0.01%)	⬆️

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