Windows CE c# .Net An error message cannot be displayed because an optional resource assembly containing it cannot be found.

Copy this cab file to your CE device, double-click to install it on your CE device,and now you should have the detailed debug messages now.

If anyone is still having this issue the cab file you are looking for, for CF2 is actually in
"C:\Program Files\Microsoft.NET\SDK\CompactFramework\v2.0\WindowsCE\Diagnostics"
I am running WM5 with messaing and security pack and the cab required was System_SR_ENU.CAB and not the System_SR_ENU_wm.CAB version

There is also a stack overflow question with the same answer