Add a few sanity checks

[mcabbott]

This adds a warning if your Chain gets a Float64 gradient, as that's an easy way to get awful performance. Done in a much tidier way than #1031.

And errors on wrong-length loadparams! / restructure, closes #1408.

Has a test for #1393, too, which will fail until that's merged. Or can be moved, but simplest to merge that first.