Clickhouse: Improve exception description `DB::Exception: DDL background thread is not initialized.`

[Felixoid]

Describe the bug
If some query with ON CLUSTER is launched without set zookeeper config executed then the description of the exception is unclear now:

Received exception from server (version 19.4.0):
Code: 49. DB::Exception: Received from localhost:9000, ::1. DB::Exception: DDL background thread is not initialized.. 

It should have something about the lack of necessary zookeeper config

How to reproduce

• clickhouse-server 19.4.0
• Set sharding only cluster w/o zookeeper, e.g:

<graphite>                                           
  <shard>                                            
    <internal_replication>true</internal_replication>
    <replica>                                        
      <host>ch01.local</host>   
      <port>9000</port>                              
      <user>default</user>                           
    </replica>                                       
  </shard>                                           
  <shard>                                            
    <internal_replication>true</internal_replication>
    <replica>                                        
      <host>ch02.local</host>   
      <port>9000</port>                              
      <user>default</user>                           
    </replica>                                       
  </shard>                                           
  <shard>                                            
    <internal_replication>true</internal_replication>
    <replica>
      <host>ch03.local</host>
      <port>9000</port>
      <user>default</user>
    </replica>
  </shard>                                           
</graphite>                                          

• CREATE TABLE IF NOT EXISTS test_sharding.data_l ON CLUSTER graphite ( metric String, value Float64, timestamp UInt32, date Date, updated UInt32) ENGINE = MergeTree() PARTITION BY toYYYYMM(date) ORDER BY (metric, timestamp) SETTINGS index_granularity = 8192

Expected behavior
Exception with the clear description about the lack of necessary zookeeper config

[MeteHanC]

It's still the same error message in 19.13.2.19 Official Release.

[Felixoid]

Still actual

[siddharth-goel-guavus]

The issue is still there

[alexey-milovidov]

Unassigned from @abyss7 because nothing was done.