Explicitly state which external link failed to validate

[olivergrabinski]

During external link validation, the error message can be unhelpful:

[error] Error validating external link, status was 404 Not Found at /home/runner/work/nexus/nexus/docs/src/main/paradox/docs/faq.md:1
[error] # FAQ
[error] ^

This change explicitly states which link failed to validate

[lightbend-cla-validator]

Hi @olivergrabinski,

Thank you for your contribution! We really value the time you've taken to put this together.

Before we proceed with reviewing this pull request, please sign the Lightbend Contributors License Agreement:

http://www.lightbend.com/contribute/cla

[johanandren]

LGTM, thanks!

[olivergrabinski]

Thanks @johanandren; I had to push again to fix the formatting