Improve error logging and documentation for issue 4007

[sage-maker]

Issue #, if available: 4007

Description of changes: Improve error logging and documentation for issue 4007

Testing done:

Merge Checklist

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Tests

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[codecov]

Codecov Report

Attention: Patch coverage is 90.00000% with 1 line in your changes missing coverage. Please review.

Project coverage is 86.12%. Comparing base (9ba4faa) to head (79a6b91).
Report is 1 commits behind head on master.

Files with missing lines	Patch %	Lines
src/sagemaker/utils.py	90.00%	1 Missing ⚠️

Additional details and impacted files

@@           Coverage Diff           @@
##           master    #5153   +/-   ##
=======================================
  Coverage   86.12%   86.12%           
=======================================
  Files         446      446           
  Lines       43203    43205    +2     
=======================================
+ Hits        37208    37210    +2     
  Misses       5995     5995           

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[sage-maker]

#4007