[gym] Fix error message for catalyst_platform option

[koraktor]

Checklist

• I've run bundle exec rspec from the root directory to see all new and existing tests pass
• I've followed the fastlane code style and run bundle exec rubocop -a to ensure the code style is valid
• I see several green ci/circleci builds in the "All checks have passed" section of my PR (connect CircleCI to GitHub if not)
• I've read the Contribution Guidelines
• I've updated the documentation if necessary.

Motivation and Context

Fixes the error message caused by wrong values passed to Gym‘s catalyst_platform option. The error message mentioning export_method is misleading.

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