Lots of broken links from 'docs' to 'examples'

[ahuang11]

Streamlit's components are linked, but not Panel's.
https://panel.holoviz.org/how_to/streamlit_migration/chat.html#create-chat-interfaces

We should link them to the corresponding pages like https://panel.holoviz.org/reference/chat/ChatInterface.html

[MarcSkovMadsen]

I can see the links in the source document. But they don't show up in the build documentation.

[MarcSkovMadsen]

Its the same problem other places in the documentation with references from the docs to the reference examples.

[MarcSkovMadsen]

Here is another example of it not working

But it seems the one referencing the .md a little to the right works. So maybe that is the solution?