first-run experience can impact the completions command in a way that breaks the command

[baronfel]

Describe the bug

To Reproduce

• Install a new version of the sdk.
• run dotnet completions generate pwsh | out-string | invoke-expression -erroraction silentlycontinue

See that the stdout becomes un-interpretable as a powershell expression.

First-run experience should write to stderr instead of stdout.

[baronfel]

Potential solution: if first-run output was emitted to stderr, then stdout can remain consistent.