Convert yarn script into a Bash script for checking links

What does this Merge Request do and why?

Follow up to: !2396 (merged).

The current syntax doesn't work with sh, which is what yarn uses to run scripts. I've moved the logic into a Bash script. This gives us much more control over the flow and output of the check, and ensures compatibility.

Merge Request checklist

• This change is backward compatible. If not, please include steps to communicate to our users.
• Tests added for new functionality. If not, please raise Issue to follow-up.
• Documentation added/updated, if needed.
• gdk doctor test added, if needed.
• Add the ~highlight label if this MR should be included in the CHANGELOG.md.