DOC: Update instructions for building docs

[david-cortes-intel]

Description

This PR updates the instructions for building the documentation locally, adding a new required step that is missing and mentioning the process for daal4py docs.

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PR should start as a draft, then move to ready for review state after CI is passed and all applicable checkboxes are closed.
This approach ensures that reviewers don't spend extra time asking for regular requirements.

You can remove a checkbox as not applicable only if it doesn't relate to this PR in any way.
For example, PR with docs update doesn't require checkboxes for performance while PR with any change in actual code should have checkboxes and justify how this code change is expected to affect performance (or justification should be self-evident).

Checklist to comply with before moving PR from draft:

PR completeness and readability

• I have reviewed my changes thoroughly before submitting this pull request.
• I have updated the documentation to reflect the changes or created a separate PR with update and provided its number in the description, if necessary.
• Git commit message contains an appropriate signed-off-by string (see CONTRIBUTING.md for details).
• I have added a respective label(s) to PR if I have a permission for that.
• I have resolved any merge conflicts that might occur with the base branch.

Testing

Not applicable.

Performance

Not applicable.

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Flag	Coverage Δ
azure	?
github	70.74% <ø> (ø)

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see 54 files with indirect coverage changes

[icfaust]

Ideally we should have a little blurb for the --gh-pages flag, but otherwise ready to go.