[VS Code] Add automated checking of external links in the docs

Problem

We don't check for external links integrity in an automated way. That might lead to cases where external links are broken and we don't notice until they are reported by people encountered it. That might affect customer's experience.

Solution

Since the faulty link might not be an issue of an MR, we should introduce a separate job that would be allowed to fail in the MRs, and would also run in a scheduled pipeline and could fail it if the check fails.

We need to introduce a new lychee configuration to cover external links.

See more context in this thread:

The following discussion from !2527 (merged) should be addressed:

• @aqualls started a discussion: (+2 comments)

  --offline means we check only local links … and the problematic link wasn't local.

  Sigh.