SAS allows you to create custom messages when a constraint occurs.  There are two options for a constraint:

• MESSAGE=:  This is a custom message up to 250 characters.
• MSGTYPE=:  This has two options.  NEWLINE means that it is displayed in addition to the original error message.  USER means that only the custom message is displayed.

Here’s a couple of examples that should make it clear.

proc sql UNDO_POLICY=REQUIRED;
CREATE TABLE work.myjunk
(
	number int,
	number1 int CHECK (number < 5) Message='***This is my error***' Msgtype=USER
);
INSERT INTO work.myjunk
   VALUES (6,6);
SELECT * FROM work.myjunk;
quit;

ERROR: ***This is my error*** 
NOTE: This insert failed while attempting to add data from VALUES clause 1 to the data set.

proc sql UNDO_POLICY=REQUIRED;
CREATE TABLE work.myjunk
(
	number int,
	number1 int CHECK (number < 5) Message='***This is my error***' Msgtype=NEWLINE
);
INSERT INTO work.myjunk
   VALUES (6,6);
SELECT * FROM work.myjunk;
quit;

ERROR: ***This is my error*** Add/Update failed for data set WORK.MYJUNK because data value(s) do not comply with integrity
constraint _CK0001_.

NEWLINE is the default option.