Add a warning message if docs_path not explicitly set

[thinkall]

Why are these changes needed?

Address https://discord.com/channels/1153072414184452236/1153072414184452241/1179080685407973447

I wish "docs_path" : False/None was mandatory when docs are not specified.. doesnt the zen of Python say something about explicity > implicity? Turns out that if I have a typo in my retrieve_config the error that I get for not defining docs_path doenst help at all

Related issue number

Checks

• I've included any doc changes needed for https://microsoft.github.io/autogen/. See https://microsoft.github.io/autogen/docs/Contribute#documentation to build and test documentation locally.
• I've added tests (if relevant) corresponding to the changes introduced in this PR.
• I've made sure all auto checks have passed.

[codecov-commenter]

Codecov Report

Attention: 2 lines in your changes are missing coverage. Please review.

Comparison is base (f654946) 27.79% compared to head (795f264) 37.22%.

Files	Patch %	Lines
...gen/agentchat/contrib/retrieve_user_proxy_agent.py	33.33%	2 Missing ⚠️

Additional details and impacted files

@@            Coverage Diff             @@
##             main     #814      +/-   ##
==========================================
+ Coverage   27.79%   37.22%   +9.43%     
==========================================
  Files          27       27              
  Lines        3497     3500       +3     
  Branches      793      794       +1     
==========================================
+ Hits          972     1303     +331     
+ Misses       2454     2077     -377     
- Partials       71      120      +49     

Flag	Coverage Δ
unittests	37.17% <33.33%> (+9.43%)	⬆️

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[qingyun-wu]

LGTM. Thanks Li!