Add a troubleshooting error tip and step to the readme

[Octogonapus]

I spent some time debugging this today and thought this could be helpful to add to the readme.

Maybe it's also worth adding a warning in the Julia code that checks if this env var is absent?

[IanButterworth]

Maybe it's also worth adding a warning in the Julia code that checks if this env var is absent?

That sounds good. I'd do that check within the catch that throws the error