Add custom error message in the modal dropdown

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This is a follow up from !109521 (merged)

With the migration of the project select dropdown from GlDropdown to GlCollapsibleListbox we lost the ability to have a customized error message in case our project fetching fails.

With the implementation of gitlab-ui#2132 (moved) we should be able to add the custom error message back again via GlCollapsibleListbox api.