CMP client: fix error response on -csr without private key, also in docs

Reviewed-by: Tomas Mraz <tomas@openssl.org>
Reviewed-by: Todd Short <todd.short@me.com>
Reviewed-by: David vo

CMP client: fix error response on -csr without private key, also in docs

Reviewed-by: Tomas Mraz <tomas@openssl.org>
Reviewed-by: Todd Short <todd.short@me.com>
Reviewed-by: David von Oheimb <david.von.oheimb@siemens.com>
(Merged from https://github.com/openssl/openssl/pull/20832)

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