UX when DMing a user on a unfederated server is awful.

### Steps to reproduce

1. Try to DM someone on a server which isn't federated with you.
2. You get to type the message to them before it tries to actually create the DM (which is already a problem if we know the DM won't go through)
3. It then tries to create the room, and sprouts a very generic error like this:

In the logs, this looks to be a 403 returned by /createRoom

4. The 'retry' button then goes and creates another broken room in your roomlist.
5. Trying to leave these rooms doesn't actually update the roomlist.

### Outcome

#### What did you expect?

At the least, surface the error to the user: "We can't federate with this user's server, sorry". This check should be done at the beginning of the flow, not after we fail to /createRoom.

#### What happened instead?

Horrible opaque UX which makes it feel like random bugs are happening rather than a deliberate lack of federation.

### Application version

Nightly

### Homeserver

matrix.org

### Will you send logs?

Yes