Doing that could easily be done through a client side asset check to see if everything needed is present, then state if assets are missing that cannot be downloaded through the DLS.
Edit: the process could be done like so:
Attempting to connect to server...
Server connection established, checking required assets...
(insert KUID here) not found, checking download station...
Asset could not be downloaded (due to not being on the download station), terminating connection.
Have it be a multiple stage check, cross refrencing installed assets between client and server before attempting to find it on the download station.
Edit2: Also it's already a standard where assets not avalible on the DLS are refrenced to being obtainable somewhere else, even if someone has to ask the origional creator (I usualy find the applicable information in the asset description).