Adds error state to compliance dropdown

What does this MR do and why?

Form group has default way to handle errors It is better from UX perspective and UI alignment

Follow up of the !135875 (comment 1646098531)

Screenshots or screen recordings

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Before	After

How to set up and validate locally

Numbered steps to set up and validate the change are strongly suggested.

Feature.enable(:security_policies_policy_scope)

1. Go to a Group
2. Only way to see an error for now is to set showError to true in compliance_framework_dropdown.vue
3. Go to Secure -> Policies -> New policy -> scan execution/rule policy

MR acceptance checklist

This checklist encourages us to confirm any changes have been analyzed to reduce risks in quality, performance, reliability, security, and maintainability.

• I have evaluated the MR acceptance checklist for this MR.

Related to #428494 (closed)