Sphinx/ReadTheDocs supports automatically translating links written as
to `.md` files to point to the corresponding `.html` files, so this
migration does not change the resulting HTML output in ReadTheDocs.
But it does fix apparent broken links on GitHub.
This doesn't prevent people from reading the documentation on GitHub
(so doesn't mitigate the fact that some rtd-specific syntax does not
render properly on GH), but it will prevent us from getting erroneous
issues reported about the hyperlinks not working.
Fixes: #11087.
The testing section is more appropriate, since it's fundamentally part
of our CI system.
While we're at it, fix the fact that we were linking to GitHub, not
ReadTheDocs, in the run-mypy output.