better error message when `convert` fails as intended

[nsajko]

From Discourse:

Since this is a common thing people might try, it might be worth either adding convert methods that just error, or adding error hints to this particular MethodError, linking to this issue and asking people to explicitly use the constructor.

The drawback of adding a convert methods that just errors is increasing the number of methods. However that seems better than registering an error hint, which requires non-static global state AFAIK.