[check_config_docstrings.py] improve diagnostics
It's difficult to know what to do when one gets an error:

```
python utils/check_config_docstrings.py

Traceback (most recent call last):
  File "utils/check_config_docstrings.py", line 92, in <module>
    check_config_docstrings_have_checkpoints()
  File "utils/check_config_docstrings.py", line 88, in check_config_docstrings_have_checkpoints
    raise ValueError(f"The following configurations don't contain any valid checkpoint:\n{message}")
ValueError: The following configurations don't contain any valid checkpoint:
IdeficsConfig

Exited with code exit status 1
```

After figuring out what it wants, proposing a better assert message.
_The documentation is not available anymore as the PR was closed or merged._