That would be good but might be hard to implement for all data layers, I'll have to look into it.
One undocumented thing I did since I ran into the same problem recently where the connection wasn't working on a remote server and I needed to know about the underlying error to help solve it.
If you add this to Web.config:
<add key="ShowConnectionErrorOnSetup" value="true" />
It will show the raw exception message, but as a security feature it is false by default and the friendly error is shown.