While it may be possible to add something like this or at least add a check to see if krb5-config is present rather than the mysterious exit code 127 it's hard to state the package name of libkrb5-dev as the name is highly dependent on the system you are running under. For example Debian/Ubuntu it's libkrb5-dev but on RHEL-ish hosts it's krb5-devel.

I don't want to say this won't be added as I do see improving the error messages would be nice, it's just not a simple thing to do.

I agree with you, but then something like libkrb5 library is probably missing on your OS would be more useful than krb5-config when googling the name to find the right package for a specific distribution.