[FIR] Make reporting of local class diagnostics more consistent with K1

It would be nice to report more appropriate diagnostics at the
corresponding places, but right now it's more important to
fix greenness-redness problems. Plus, this is already how K1 works.

^KT-59900 Fixed

compiler/testData/diagnostics/tests/objects/nestedClassInAnonymousObject.kt

@@ -1,3 +1,4 @@
+// FIR_IDENTICAL
 class X {
     val foo = object {
         <!NESTED_CLASS_NOT_ALLOWED!>class Foo<!>