Print error message from dyn.load when documenting

[CGMossa]

It seems to be the case that callr invocation that is used to make wrappers (in document()) eats up any error messages that arise from dyn.load. See

extendr/extendr#702

I believe this issue will be recurring, because there is plenty of system dependencies that need to be accounted for, and not being able to see which symbol is missing, makes troubleshooting a nightmare.

I looked up callr and, the tryCatch call, and there isn't a clear way to solve this.
For an overview of where the tension point is, see extendr/extendr#702 (comment)