chore: add more comment for missing alert channels

[Antoine-C]

I hereby confirm that I followed the code guidelines found at engineering guidelines

Affected Components

• [x] CLI
• [ ] Create CLI
• [ ] Test
• [ ] Docs
• [ ] Examples
• [ ] Other

Notes for the Reviewer

• Add a better explanation in case the alert subscription array is empty or missing.

[shortcut-integration[bot]]

This pull request has been linked to Shortcut Story #16858: Add warning to CLI & TF when pushing checks w. no alert channel subscriptions..