For Wikibases with federation enabled to any other Wikibase instance

• Document needed entitysources configuration for this kind of usage
• Display a clear and visible error if configuration is incomplete or incorrect

For reference, the work done in T257907 can be looked at / used as an example.
But the docs should include where to set this (LocalSettings) and why this has to happen manually.
We will also need to create a config for our own test system (as we use beta Wikidata) which we could use in the docs as an example.