[Nuxt] Add warning in case http integration is not set up

[s1gr1d]

In some cases, the build output is not correct and therefore, the http integration cannot be set up. To make users not have to go to their build output, we could add a warning.

Related issue: #14514

Follow-up: Update docs for setup with dynamic import

[s1gr1d]

Can be closed as using the dynamic import() is no longer the default: #14553