local: Add friendly help if no local library cache found

Fixes #711
mpd: Remove old exception handling.

This is a leftover from the old dispatcher code that was missed in the
refactor. The call() will never raise a LookupError for missing commands.
docs: Add #741 fix
Merge pull request #747 from jodal/feature/friendly-no-local-library-help

local: Add friendly help if no local library cache found
docs: Fix typo (closes #753)
docs: Fix second typo