When a template is missing, you get a redlink for it.
When a module is missing, you get an unclickable red script error that sends you nowhere. Why not have a redlink to create the missing module instead?
Example: Link
Topic on Extension talk:Scribunto
The link is not technically "unclickable" - you can click on it, and it pops up a JavaScript window with details of the error the user encountered. I agree that in the case of "no such module" errors it would be helpful to have a red link in the error message in that JavaScript popup, though. This would be a good feature to propose in Phabricator.
@Mr. Stradivarius, thanks for the fast answer! I was reluctant of proposing it thinking that it might already exist. I did now though (after having asked before at EnWiki and here).