I feel like use case and audience matters when making these decisions. In this case, the user is probably someone interacting with a python script they're running in a console (I assume by print), then I really don't think it matters - the user will check that both things are set. Should you also give them some documentation about setting env vars? Should you customize that documentation to the OS they're running? etc.

If the user is a typical consumer using a typical consumer interface, then yes you want to handhold them a bit more.