Have implemented this formatting for the autocomplete component which means the line does not also wrap the label ("Select a local authority).
To wrap the label we would have to implement in dropdown which might require quite a lot more work to figure out how to access the autocomplete showErrorMessage state from the dropdown.
After discussion with Joe it was decided displaying the line only for the autocomplete was acceptable.
Accessibility for dropdown error message PR for ticket https://trello.com/c/Avj9jdv9