Adding config validation to fix #834.

Besides issue #834, it is clear that many issues opened that stay open for a long time have as origin this issue.

Users misconfiguring things and not being able to easily figure out which dependency they are missing.

As I'm still relatively new to sentry's codebase, please feel free to ask for any changes that this pull request might need.

I tried to test it as thoroughly as possible, but if there's anything else that needs tests, just let me know and I'll be more than happy to add more tests.