[docs-infra] Style collocation

Style spread on two different files will be hard to keep in sync.
Follow-up on #41181
Also simplify the CSS selector for performance.

docs/src/modules/components/Ad.js

@@ -222,10 +222,6 @@ export default function Ad() {
         mt: AD_MARGIN_TOP,
         mb: AD_MARGIN_BOTTOM,
         minHeight: AD_HEIGHT_MOBILE,
-        '& a[target="_blank"]::after': {
-          // Remove link arrow for ads
-          display: 'none',
-        },
         [theme.breakpoints.up('sm')]: {
           minHeight: AD_HEIGHT,
         },
@@ -242,6 +238,7 @@ export default function Ad() {
       data-ga-event-category="ad"
       data-ga-event-action="click"
       data-ga-event-label={eventLabel}
+      className="Ad-root"
     >
       <AdErrorBoundary eventLabel={eventLabel}>{children}</AdErrorBoundary>
     </Box>

docs/src/modules/components/MarkdownElement.js

@@ -407,10 +407,14 @@ const Root = styled('div')(
       opacity: 1,
       transform: 'translate(1px, 0)',
     },
-    '& a.remove-link-arrow[target="_blank"]::after': {
+    '& a.remove-link-arrow::after': {
       // Allows to remove link arrows for images
       display: 'none',
     },
+    '& .MuiAd-root a::after': {
+      // Remove link arrow for ads
+      display: 'none',
+    },
     '& a, & a code': {
       // Style taken from the Link component
       color: `var(--muidocs-palette-primary-600, ${lightTheme.palette.primary[600]})`,