added better error message and test

src/ophyd_async/core/device.py

@@ -183,4 +183,12 @@ async def __aexit__(self, type, value, traceback):
 
     def __exit__(self, type_, value, traceback):
         self._objects_on_exit = self._caller_locals()
-        return call_in_bluesky_event_loop(self._on_exit())
+        try:
+            fut = call_in_bluesky_event_loop(self._on_exit())
+        except RuntimeError:
+            raise NotConnected(
+                "Could not connect devices. Is the bluesky event loop running? See "
+                "https://blueskyproject.io/ophyd-async/main/"
+                "user/explanations/event-loop-choice.html for more info."
+            )
+        return fut

tests/core/test_device_collector.py

@@ -14,3 +14,14 @@ def test_device_collector_does_not_propagate_error(RE):
             _ = Dummy("somename")
 
     assert not exc.value.__cause__
+
+
+async def test_device_connector_sync_no_run_engine_raises_error():
+    with pytest.raises(NotConnected) as e:
+        with DeviceCollector():
+            _ = Dummy("somename")
+    assert e.value.lines == [
+        "Could not connect devices. Is the bluesky event loop running? See "
+        "https://blueskyproject.io/ophyd-async/main/"
+        "user/explanations/event-loop-choice.html for more info."
+    ]