Sentry did not raise any error msg / issue upon not being able to connect to Sentry API

### How do you use Sentry?

Self-hosted/on-premise

### Version

2.15.0

### Steps to Reproduce

Simply having a connection issue between Sentry SDK and Sentry
In my case it's not having a proper route to Sentry

### Expected Result

An error / warning message to show up

### Actual Result

Nothing shows up at all to tell me that Sentry weren't able to connect. The only reason I figured out that there's a connectivity issue is when I triggered debug logging and urllib actually warned about it