[MINOR][SQL] Enhance the exception message if checkpointLocation is not set

Enhance the exception message when `checkpointLocation` is not set, previously the message is:

```
java.util.NoSuchElementException: None.get
  at scala.None$.get(Option.scala:347)
  at scala.None$.get(Option.scala:345)
  at org.apache.spark.sql.DataFrameWriter$$anonfun$8.apply(DataFrameWriter.scala:338)
  at org.apache.spark.sql.DataFrameWriter$$anonfun$8.apply(DataFrameWriter.scala:338)
  at scala.collection.MapLike$class.getOrElse(MapLike.scala:128)
  at scala.collection.AbstractMap.getOrElse(Map.scala:59)
  at org.apache.spark.sql.DataFrameWriter.startStream(DataFrameWriter.scala:337)
  at org.apache.spark.sql.DataFrameWriter.startStream(DataFrameWriter.scala:277)
  ... 48 elided
```

This is not so meaningful, so changing to make it more specific.

Local verified.

Author: jerryshao <sshao@hortonworks.com>

Closes #12998 from jerryshao/improve-exception-message.