If you have the dependency chain A.dll -> B.dll -> C.dll and C.dll is missing then KSP will still load A.dll which will result in the usual errors for a missing dependency. This seems like it might be a useful thing for KSPCF to fix. Until recently this wasn't known to be possible, but it is possible to do it using the same strategy I used in KSPPluginLoader.
If done, this would need to be in a separate DLL since the KSPCF libs are too far down in the load order. This would need to either go directly in GameData or in a 000_Blah folder. Whether the increased installation complexity is worth it is up to you.
Another option would be to add a dependency on KSPPluginLoader which also fixes this issue.