When a user expects a feature but you don’t offer it, should you alert them to this fact?

Yesterday I was writing an article on lesserwrong.com. I am used to writing on Medium. On Medium, you can embed videos into your article. On lesserwrong.com, you can't. I was expecting it to be possible on lesserwrong.com, so I took a while trying to figure out whether or not it was possible and ended up having to contact support. I would have rather just been notified up front something along the lines of: "You may be looking to embed a video. We don't offer that feature right now."

Today I was on Betterment. My external accounts last synced three days ago. I want them to sync right now. I don't see a way to manually sync them. I spent about 5 minutes looking around to see if it is possible. It seems that it isn't. I would have rather just been notified up front something along the lines of: "You may be looking to manually sync your external accounts. We don't offer that feature."

In general, is it a good idea to notify users that a feature they're probably looking for doesn't exist?