'Sunlight' is an uncountable (or 'mass') noun, so it generally can't take an indefinite article. Just as you can't say 'a traffic' or 'an information', you normally would not say 'a sunlight'. That said, there may be contexts where a native speaker may want to distinguish between one (type of) sunlight and another. A photographer, for example, might talk about 'a warm sunlight' as opposed to 'a harsh sunlight'. And poets, of course, can choose to use language as they wish. In most situations, though, we need to follow the grammar rules. Your first sentence is the right one.

He only goes out when there is warm sunlight outside. Sunlight cannot be measured as a quantity so we don't use 'a'. It's just sunlight.

The first sounds better.