**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
Connection(
            conn_id="azure_cosmos_default",
            conn_type="azure_cosmos",
            extra='{"database_name": "<DATABASE_NAME>", "collection_name": "<COLLECTION_NAME>" }',
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id='azure_data_explorer_default',
            conn_type='azure_data_explorer',
            host='https://<CLUSTER>.kusto.windows.net',
            extra='''{"auth_method": "<AAD_APP | AAD_APP_CERT | AAD_CREDS | AAD_DEVICE>",
                    "tenant": "<TENANT ID>", "certificate": "<APPLICATION PEM CERTIFICATE>",
                    "thumbprint": "<APPLICATION CERTIFICATE THUMBPRINT>"}''',
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id="azure_data_lake_default",
            conn_type="azure_data_lake",
            extra='{"tenant": "<TENANT>", "account_name": "<ACCOUNTNAME>" }',
        ),
        session,
    )
    merge_conn(
        Connection(
            conn_id="azure_default",
            conn_type="azure",