Add warning when metric is skipped because it's not on the experiment (…

…#2449)

Summary:
Pull Request resolved: #2449

See discussion on D57165887 and D56634321.

Reviewed By: SebastianAment

Differential Revision: D57174994

fbshipit-source-id: 06b705ce7782db8014d596407abc3da463dddd05

ax/core/observation.py

@@ -380,6 +380,11 @@ def _filter_data_on_status(
  metric_name = g
  # Filter out any metrics that are not on the experiment.
  if metric_name not in experiment.metrics:
+ warnings.warn(
+ f"Metric {metric_name} not found on {experiment}. Not attaching to "
+ "observation.",
+ stacklevel=2,
+ )
  continue
  metric = experiment.metrics[metric_name]
  statuses_to_include_metric = (