[core] warn about gaps in series

[jmoralez]

Description

From #457:

My dataset has hourly data but there are a few timeslots missing. I am predicting number of people that leave a subway station and these stations can be closed during a few hours in the day. These rows do not show up in my original dataset. When I was using mlforecast this didn't give me any warnings but when I gave the dataset to TimeGPT I was prompted to use fill_gaps to make sure that there are no missing rows.

Use case

If there are gaps in the series the lag features aren't computed properly.