Support returning exceptions for failed tasks in `Client.gather`
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enhancement
good second issue
help wanted
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Description
Currently the `errors=` kwarg for `Client.gather` supports either raising exceptions of failed tasks, or skipping them altogether. Today I ran into a case where it would have been convenient if we supported returning the actual exception that was raised in the gathered results. This is similar to what we already support in `Client.run` with `on_error="return"`
https://github.com/dask/distributed/blob/774874ebc4b1bea88d0df8288eb0ab67f39004fc/distributed/client.py#L2961-L2963
It'd be nice if we had something similar for `Cilent.gather`
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