When build fails due to lib missing, indicate which one

Summary:

A failure of "lib missing" has limited utility.

Backport of core PR13435
https://github.com/bitcoin/bitcoin/pull/13435/files

Test Plan:

make check

Reviewers: #bitcoin_abc, deadalnix

Reviewed By: #bitcoin_abc, deadalnix

Differential Revision: https://reviews.bitcoinabc.org/D3788