Check for broken links on generated sites

[asfimport]

Some of the generated sites have broken links. Many static site generation tools can check for these when building the site. This should be enabled for the R package, and possibly for the entire documentation website. Some related pull requests:
#14443
#14437

Reporter: Benson Muite / @bkmgit

_{Note: This issue was originally created as ARROW-18082. Please see the migration documentation for further details.}

[asfimport]

Benson Muite / @bkmgit:
Maybe:
https://github.com/r-lib/urlchecker/
https://github.com/fastai/fastlinkcheck
https://github.com/gjtorikian/html-proofer
could be used