Issue #14599: Generalize a test for ImportError.path and add support
in Python/dynload_shlibs.c.

This should fix the remaining importlib test failure on Windows.
Support in AIX and HP-UX will be in a separate checkin.
diff --git a/Python/importdl.c b/Python/importdl.c
index 734b35f..942e4b8 100644
--- a/Python/importdl.c
+++ b/Python/importdl.c
@@ -74,10 +74,11 @@
     if (PyErr_Occurred())
         goto error;
     if (p == NULL) {
-        PyErr_Format(PyExc_ImportError,
-                     "dynamic module does not define init function"
-                     " (PyInit_%s)",
-                     shortname);
+        PyObject *msg = PyUnicode_FromFormat("dynamic module does not define "
+                                             "init function (PyInit_%s)",
+                                             shortname);
+        PyErr_SetImportError(msg, name, path);
+        Py_DECREF(msg);
         goto error;
     }
     oldcontext = _Py_PackageContext;