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The link-checks CI job is failing, like this:
(build link)
I suspect that's a result of the changes in #6266. This fixes that.
Also fixes some broken links (404s) and "anchor-not-found" issues.
Notes for Reviewers
How I tested this
Manually triggered a run on this branch, saw it pass: https://github.com/microsoft/LightGBM/actions/runs/9608163802/job/26500497894