DH_check: Emphasize the importance of return value check

Reviewed-by: Matt Caswell <matt@openssl.org>
Reviewed-by: Tom Cosgrove <tom.cosgrove@arm.com>
Reviewed-by: Paul Dale <pauli@openssl.org>
(Merged from https://github.com/openssl/openssl/pull/22262)

(cherry picked from commit f7b80136)