[docs] more fixes for broken links

[jameslamb]

I thought I fixed the check-links task in #5939 .

... but I didn't realize that that job will also fail for warnings.

Build link: https://github.com/microsoft/LightGBM/actions/runs/5358159570/jobs/9720047454

This fixes the following warnings:

URL        `https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md#workarounds-for-intel-openmp-and-llvm-openmp-case'
Name       `here'
Parent URL file:///home/runner/work/LightGBM/LightGBM/docs/_build/html/FAQ.html, line 329, col 396
Real URL   https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md#workarounds-for-intel-openmp-and-llvm-openmp-case
Check time 3.620 seconds
D/L time   0.006 seconds
Size       157.11KB
Warning    [None] Anchor
           `workarounds-for-intel-openmp-and-llvm-openmp-case'
           (decoded:
           `workarounds-for-intel-openmp-and-llvm-openmp-case')
           not found. Available anchors:
           `actions-repo-tab-count', `actions-tab',
           `ajax-error-message', `blob-more-options-details',
           `blob-path', `branch-select-menu',
           `code-repo-tab-count', `code-tab',
           `context-commitish-filter-field', `fork-button',
           `insights-repo-tab-count', `insights-tab',
           `issues-repo-tab-count', `issues-tab',
           `js-flash-container',
           `js-global-screen-reader-notice',
           `js-repo-pjax-container', `jump-to-results',
           `jumpto-line-details-dialog',
           `open-source-repositories-heading',
           `product-explore-heading', `projects-repo-tab-count',
           `projects-tab', `pull-requests-repo-tab-count',
           `pull-requests-tab', `raw-url', `readme',
           `ref-list-branches', `repo-content-pjax-container',
           `repo-content-turbo-frame', `repo-network-counter',
           `repo-stars-counter-star',
           `repository-container-header',
           `repository-details-container',
           `responsive-meta-container', `security-tab',
           `site-details-dialog',
           `snippet-clipboard-copy-button',
           `snippet-clipboard-copy-button-unpositioned',
           `solutions-by-solution-heading',
           `solutions-case-studies-heading',
           `solutions-for-heading', `spoof-warning',
           `sr-footer-heading', `start-of-content', `tags-menu',
           `user-content-context',
           `user-content-incompatibility-between-intel-openmp-and-llvm-openmp-under-linux',
           `user-content-multiple-openmp-runtimes',
           `user-content-references',
           `user-content-workarounds-for-intel-openmp-and-llvm-openmp-case',
           `warn-tag-match-create-branch-dialog',
           `warn-tag-match-create-branch-dialog-header'.

URL        `https://distributed.dask.org/en/latest/worker.html#memory-management'
Name       `the Dask worker documentation'
Parent URL file:///home/runner/work/LightGBM/LightGBM/docs/_build/html/Parallel-Learning-Guide.html, line 212, col 149
Real URL   https://distributed.dask.org/en/latest/worker.html#memory-management
Check time 0.662 seconds
D/L time   0.001 seconds
Size       120.19KB
Warning    [None] Anchor `memory-management' (decoded:
           `memory-management') not found. Available anchors:
           `READTHEDOCS_DATA', `__navigation',
           `api-documentation', `banner', `bd-docs-nav',
           `bd-toc-nav', `command-line-tool',
           `distributed.nanny.Nanny',
           `distributed.nanny.Nanny.close',
           `distributed.nanny.Nanny.close_gracefully',
           `distributed.nanny.Nanny.instantiate',
           `distributed.nanny.Nanny.kill',
           `distributed.nanny.Nanny.log_event',
           `distributed.nanny.Nanny.start_unsafe',
           `distributed.worker.Worker',
           `distributed.worker.Worker.batched_send',
           `distributed.worker.Worker.close',
           `distributed.worker.Worker.close_gracefully',
           `distributed.worker.Worker.data',
           `distributed.worker.Worker.digest_metric',
           `distributed.worker.Worker.execute',
           `distributed.worker.Worker.gather_dep',
           `distributed.worker.Worker.get_current_task',
           `distributed.worker.Worker.handle_stimulus',
           `distributed.worker.Worker.log_event',
           `distributed.worker.Worker.retry_busy_worker_later',
           `distributed.worker.Worker.start_unsafe',
           `distributed.worker.Worker.transfer_outgoing_bytes',
           `distributed.worker.Worker.transfer_outgoing_bytes_total',
           `distributed.worker.Worker.transfer_outgoing_count',
           `distributed.worker.Worker.transfer_outgoing_count_total',
           `distributed.worker.Worker.trigger_profile',
           `distributed.worker.Worker.worker_address',
           `documentation_options', `download-print',
           `dropdown-buttons-trigger', `id1',
           `internal-scheduling', `jb-print-docs-body',
           `jb-print-toc', `main-content', `nanny', `next-link',
           `overview', `prev-link', `print-main-content',
           `search-input', `site-navigation', `site-title',
           `storing-data', `thread-pool', `toctree-checkbox-1',
           `worker'.
Result     Valid: 200 OK

[jameslamb]

This time, I did what I SHOULD HAVE done on #5939 ... triggered the link checks job pointed at this branch.

And saw it succeed 😀

https://github.com/microsoft/LightGBM/actions/runs/5358797326/jobs/9721571716

[github-actions]

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