Document access to workers dashboard

When starting a client by doing
```python
from dask.distributed import Client
client = Client()
client
```
You can try to access a specific worker's dashboard by they are turned off by default.

I realized the problem is that the `worker_dashboard_address` defaults to `None` as mentioned in https://github.com/dask/distributed/blob/b8d44cbbdb7bcb47a4324caaaa9e3e1c900bd53a/distributed/deploy/local.py#L51-L54

I propose to do two things:
1. we add this to the [Workers page](https://distributed.dask.org/en/latest/worker.html) in the docs unless there is a better place to do it
2. When we prompt the proxy message, it might be helpful to add a line that says "if you can't access the dashboard make sure you assigned a `worker_dashboard_address` the default is None" or something similar.

Happy to take on this one, as soon as we agree on where is the right place to document this.