MAINT: Make docs fail loudly on linking issues

[larsoner]

          Indeed it's problematic

https://output.circle-artifacts.com/output/job/62c1acc3-c225-4dcb-bdf8-94b0b70b9328/artifacts/0/site/changes.html

@hoechenberger any way to make these links loudly rather than silently fail? I'm not so familiar with the mkdocs settings that might be the equivalent of -nW in sphinx (nitpicky + warning-as-error) that would have caught this

Originally posted by @larsoner in https://github.com/mne-tools/mne-bids-pipeline/pull/977#discussion_r1697705026

[hoechenberger]

yes that is possible

i can take this one sometime later this week