[DOC] Local documentation build

[Cyril-Meyer]

Describe the issue linked to the documentation

In documentation-build it is stated that :

1. To build the website locally, run:

cd docs
make html

It works, but "if it is docstring changes, you have to make sure all the API pages are being regenerated." (@MatthewMiddlehurst on slack in #help-desk)

As much as I know, I'm not the only one struggling with local build of documentation (e.g. to check if it works before PR), @IRKnyazev opened the discussion on slack and most of the current answer are "PR then check result".

Suggest a potential alternative/fix

There is a problem with those instructions, we need to correct them.