Fix readme links and add CI check
# What does this PR do?

This PR fixes links that are broken in the main README or don't add the necessary "docs". It also make `check_utils` automatically treat those problems when a user runs `make fix-copies`, or error when the CI runs the repo consistency checks and there is a wrong doc links.

The mistakes fixed/checked are:
- link to https://huggingface.co/transformers (missing the "docs")
- main not in the right place: https://huggingface.co/main/transformers

CI failure has been fixed on master, so merging :-) 