More informative error when someone adds a module without updating the corresponding rst file (meta-pytorch#1653)

Summary:
Pull Request resolved: meta-pytorch#1653

A couple OSS users who have managed to get every other check passing have run into this error, and it isn't clear how to fix it without reading the source code. Example: https://github.com/pytorch/botorch/actions/runs/4084789012/jobs/7041911357

Reviewed By: Balandat

Differential Revision: D43001050

fbshipit-source-id: d211c58fea5c987f947e23716e538cddce022340

Author: esantorella

scripts/validate_sphinx.py

@@ -69,7 +69,12 @@ def validate_complete_sphinx(path_to_botorch: str) -> None:
     # Verify that all top-level modules have a corresponding rst
     missing_rsts = modules.difference(rsts)
     if not len(missing_rsts) == 0:
-        raise RuntimeError(f"Not all modules have corresponding rst: {missing_rsts}")
+        raise RuntimeError(
+            f"""Not all modules have corresponding rst:
+            {missing_rsts}
+            Please add them to the appropriate rst file in {SPHINX_RST_PATH}.
+            """
+        )
 
     # Track all modules that are not in docs (so can print all)
     modules_not_in_docs = []