UX: New machine that hasn't run sky check raises Local errors on first sky launch

[concretevitamin]

To repro:

1. Create a new VM manually in console
2. Run pip install skypilot
3. Run sky launch

This will show the following:

...
I 11-06 15:02:41 optimizer.py:685] Considered resources (1 node):
I 11-06 15:02:41 optimizer.py:713] ---------------------------------------------------------------
I 11-06 15:02:41 optimizer.py:713]  CLOUD   INSTANCE   vCPUs   ACCELERATORS   COST ($)   CHOSEN
I 11-06 15:02:41 optimizer.py:713] ---------------------------------------------------------------
I 11-06 15:02:41 optimizer.py:713]  Local   on-prem    -       -              0.00          ✔
I 11-06 15:02:41 optimizer.py:713] ---------------------------------------------------------------
I 11-06 15:02:41 optimizer.py:713]
Launching a new cluster 'sky-6be7-ec2-user'. Proceed? [Y/n]: No existing clusters.

Traceback (most recent call last):
  File "/home/ec2-user/.local/bin/sky", line 8, in <module>
    sys.exit(cli())
  File "/home/ec2-user/.local/lib/python3.7/site-packages/click/core.py", line 1130, in __call__
    return self.main(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/click/core.py", line 1055, in main
    rv = self.invoke(ctx)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 179, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/cli.py", line 916, in invoke
    return super().invoke(ctx)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/click/core.py", line 1657, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/home/ec2-user/.local/lib/python3.7/site-packages/click/core.py", line 1404, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/click/core.py", line 760, in invoke
    return __callback(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 200, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/cli.py", line 1088, in launch
    is_local_cloud=onprem_utils.check_if_local_cloud(cluster))
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/cli.py", line 658, in _launch_with_confirm
    no_setup=no_setup,
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 200, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 200, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/execution.py", line 302, in launch
    no_setup=no_setup,
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/execution.py", line 196, in _execute
    retry_until_up=retry_until_up)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 200, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 179, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/backends/backend.py", line 50, in provision
    cluster_name, retry_until_up)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/backends/cloud_vm_ray_backend.py", line 1669, in _provision
    task, to_provision, cluster_name)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/utils/common_utils.py", line 200, in _record
    return f(*args, **kwargs)
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/backends/cloud_vm_ray_backend.py", line 2698, in _check_existing_cluster
    cluster_name)['auth']['ssh_user']
  File "/home/ec2-user/.local/lib/python3.7/site-packages/sky/backends/onprem_utils.py", line 154, in get_local_cluster_config_or_error
    raise ValueError(f'Cluster config {local_file} not found.')
ValueError: Cluster config /home/ec2-user/.sky/local/sky-6be7-ec2-user.yml not found.

cc @michaelzhiluo