**Description**
The documentation and the error message of the [check-migrations](https://airflow.apache.org/docs/apache-airflow/stable/cli-and-env-variables-ref.html#check-migrations) / `def check_migrations` could be more verbose.  This check can fail if the underlying database was never initialised.


**Use case / motivation**

We are deploying our airflow helm chart with terraform helm provider. This provider has a [bug](https://github.com/hashicorp/terraform-provider-helm/issues/683) with helm hook. If airflow would give us a bit more verbose error message why could the `check-migrations` fail, we would find the underlying error/bug much sooner.


**Are you willing to submit a PR?**
Yes



airflow/utils/db.py
)
    merge_conn(
        Connection(
            conn_id="spark_default",
            conn_type="spark",
            host="yarn",
            extra='{"queue": "root.default"}',
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id="sqlite_default",
            conn_type="sqlite",
            host="/tmp/sqlite_default.db",
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id="sqoop_default",
            conn_type="sqoop",
            host="rdbms",
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id="ssh_default",
            conn_type="ssh",