Check for missing undo files at startup, making the check somewhat more ...

...efficient.

This is also an incremental step in making an index pruner for #4481
"Error:" prepended, but notice that this condition doesn't mean a file is missing, but that we don't have the bit HAVE_UNDO set in the index for this block. If the file were missing, it would be logged by the function called in line 3015. So, there's no need to log a file name here, IMHO.