Error message for unloaded extensions

[lxvm]

Fixes #232

Checklist

• Appropriate tests were added
• Any code changes were done in a way that does not break public API
• All documentation related to code changes were updated
• The new code follows the
  contributor guidelines, in particular the SciML Style Guide and
  COLPRAC.
• Any new documentation only uses public API

Additional context

Add any other context about the problem here.

[IlianPihlajamaa]

Excellent, thanks!

[lxvm]

The way I've added the error at solve time here is somewhat different from https://github.com/SciML/NonlinearSolve.jl/blob/master/src%2Falgorithms%2Fextension_algs.jl. Would it be better to throw an error as soon as we construct the algorithm?

[ChrisRackauckas]

I think it's better to error at the algorithm construction time. It both improves consistency and also gives information back to the user quicker.

[lxvm]

OK, I think this should be fixed to error in the constructor.