[Installation] Warn if submodule wasn't checked out

[cpuhrsch]

When installing with python setup.py develop installation will fail unless submodule exists.

PyTorch warns users about this: https://github.com/pytorch/pytorch/blob/bd1f5d1c32fad1d33f9716bc0e7b3924c62e65c1/setup.py#L377-L443

I'd suggest we introduce the same code here.

[cpuhrsch]

@alexsamardzic do you mind taking a look at this?

[alexsamardzic]

@alexsamardzic do you mind taking a look at this?

Sure, PR is here: #1536.

[alexsamardzic]

#1536 merged, so closing the issue.