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[FEAT] Improve Python SDK error messages for missing or invalid configuration #2879

@TheEleventhAvatar

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@TheEleventhAvatar

When required configuration values (such as server URL, API key, or environment
variables) are missing or invalid, the Python SDK can currently fail with generic
exceptions or low-context errors.

This can be confusing for new users and slows down debugging, as it’s not always
clear which configuration value is missing or how to fix the issue.

I’d like to improve the Python SDK’s configuration validation and error messaging by
explicitly checking for required configuration at initialization time and raising
clear, actionable errors that explain what’s missing and how to resolve it (for
example, which environment variable or argument is required).

This would improve the onboarding experience, reduce common setup issues, and provide
faster feedback without changing any existing SDK behavior for correctly configured
clients.

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