sg: check dev-private exists in 'sg start'

Created by: mrnugget

First attempt at https://github.com/sourcegraph/sourcegraph/issues/25501.

I think this is fine for now and can avoid new colleagues running into this problem.

It also got me thinking: I could've defined this as "check" in sg.config.yaml. But then I realised that in order to get a readable error message out of that I'd have to do some bash scripting. And that in turn reinforces my thought that the checks: should probably be Go functions. Thoughts?