Feature Request: First Time Information if connection is established

[merrcury]

Is this related to platform?

No

Describe the Problem

PostHog CLI/SDK throws an error only if we pass an empty string. It doesn't intimate if API Key is valid and the connection is successful or not.

Reason to believe It's required

• Due to some compliance, If Key needs to change and teams forget to update it in legacy code.
• Setting Up a New Developing/Staging Environment.

Solution

Asserting an error if the connection is unsuccessful only when the initial connection is made. This should only be for server-side libraries.

Current Approach

Logging a test event (makes no sense every time).