Dnn default and doc

This PR should be merged after gh-2229. It is based on it.

It change the default behavior. If cudnn is there use it by default. If not, do not introduce it automatically.

Allow user to get an error if it isn't available.

Document it.
"They work the same way as \`\`PATH\`\`." took me a while to get.  It might not be obvious that you are speaking of the colon-delimitation aspect.  And if that isn't what you are talking about, then it's even less clear.