I was setting up multi-currency and just quickly followed the instructions that came up. It failed. Turned out I needed an Alpha Vantage API Key in order for it to work. I didn't find this out until I went deep into the trouble-shooting docs even though this is apparently a basic requirement.

If this is a requirement, when someone is setting up multi-currency include that as a step and ask them to enter it at that time.

WHERE I LOOKED IN DOCS: Section 9.6.3 where it says this:

Run Install Online Price Retrieval which can be found in the GnuCash “Start” menu entry.

When I did that there was no indication anywhere that I needed to go to Alpha Vantage to get an API Key and enter it in the preferences.

I believe that the problem is that you use section 9.6.3 primarily for commodities (which, as long as you aren't using Alpha Vantage, doesn't need the API Key) but in the 12.2.2.2 section where it talks specifically about currency setup all you do is refer to 9.6.3. There's no place to deal with this special case of currency setup.