Improve some CLI errors and docs

[nilsvu]

Proposed changes

Fixes #6085.

Upgrade instructions

Code review checklist

• [ ] The code is documented and the documentation renders correctly. Run make doc to generate the documentation locally into BUILD_DIR/docs/html. Then open index.html.
• [ ] The code follows the stylistic and code quality guidelines listed in the code review guide.
• [ ] The PR lists upgrade instructions and is labeled bugfix or new feature if appropriate.

Further comments

[nilsvu]

I extended the last commit a bit further with more error message that benefit from the new RequiredChoicesError.

[nilsdeppe]

Uh oh, looks like CI is now hitting a check you added :)

[nilsvu]

Fixed