Python: add new link check action (#9667)

### Motivation and Context

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The current link check action (github-action-markdown-link-check) is no
longer being maintained, because the developer created a new one, this
PR adds the new one side by side to test.

### Description

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### Contribution Checklist

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- [x] The code builds clean without any errors or warnings
- [x] The PR follows the [SK Contribution
Guidelines](https://github.com/microsoft/semantic-kernel/blob/main/CONTRIBUTING.md)
and the [pre-submission formatting
script](https://github.com/microsoft/semantic-kernel/blob/main/CONTRIBUTING.md#development-scripts)
raises no violations
- [x] All unit tests pass, and I have added new tests where possible
- [x] I didn't break anyone 😄

python/README.md

@@ -18,7 +18,7 @@ python -m pip install --upgrade semantic-kernel[all]
 ## OpenAI / Azure OpenAI API keys
 
 Make sure you have an
-[OpenAI API Key](https://platform.openai.com) or
+[OpenAI API Key](https://platform.openai.com/) or
 [Azure OpenAI service key](https://learn.microsoft.com/azure/cognitive-services/openai/quickstart?pivots=rest-api)
 
 There are two methods to manage keys, secrets, and endpoints: