error index tests are not run during `make check`

[brson]

#30726 adds testing of the error index. They run on make check-docs but not yet on make check. They should.

This is just a matter of deciphering tests.mk and figuring the right rule to add.

[GuillaumeGomez]

I don't think anything Makefile related should be labelled as easy.

[james-w]

I will take a look at this. I'm pretty experienced with Makefiles, and I've had a look and
I think I follow how this works.

[apasel422]

This would likely have prevented #33662.

[dsprenkels]

This issue has been fixed by #34201 and may be closed.