[CI] Move link check from jenkins to github action

[barry-jin]

Description

Set up link check in github action as a not required check.

Checklist

Essentials

• PR's title starts with a category (e.g. [BUGFIX], [MODEL], [TUTORIAL], [FEATURE], [DOC], etc)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• Code is well-documented

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[mxnet-bot]

Hey @barry-jin , Thanks for submitting the PR
All tests are already queued to run once. If tests fail, you can trigger one or more tests again with the following commands:

• To trigger all jobs: @mxnet-bot run ci [all]
• To trigger specific jobs: @mxnet-bot run ci [job1, job2]

---

CI supported jobs: [clang, unix-gpu, edge, website, sanity, centos-cpu, windows-gpu, centos-gpu, windows-cpu, miscellaneous, unix-cpu]

---

Note:
Only following 3 categories can trigger CI :PR Author, MXNet Committer, Jenkins Admin.
All CI tests must pass before the PR can be merged.

[szha]

LGTM