Improved error handling in case no scikit present

[SkBlaz]

Currently there is no description for when this error is thrown. Being explicit seems of value.

Why are these changes needed?

This PR improves error handling for the contrib module.

Related issue number

#1401

Checks

• [ x] I've used pre-commit to lint the changes in this PR (note the same in integrated in our CI checks).
• [ x] I've included any doc changes needed for https://microsoft.github.io/FLAML/. See https://microsoft.github.io/FLAML/docs/Contribute#documentation to build and test documentation locally.
• [ x] I've added tests (if relevant) corresponding to the changes introduced in this PR.
• [ x] I've made sure all auto checks have passed.