Rename API files to use MDX extension (#1013)

API docs use Markdown components, and are about to use a lot more of
them with the new API components like
#1008. It's confusing to
pretend they're MD files.

This PR makes things consistent, which allows us to simplify some of our
scripts to only deal with MDX and IPYNB extensions.

The API docs were manually changed with this Bash snippet:

```bash
for file in docs/api/**/*.md; do
  if [ -f "$file" ]; then
    mv "$file" "${file%.md}.mdx"
  fi
done
```