DOC: Check if the sphinx warning is caused by the label name

[datapythonista]

• closes #xxxx (Replace xxxx with the GitHub issue number)
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

[datapythonista]

@attack68 any idea what the problem can be? The doc raises a warning for the label it can't find, but only in 2.0.x, which is weird since the code doesn't seem to have changed. I guess it may be that we're using different versions of sphinx or an extension between main and 2.0.x, but not sure exactly what's wrong.

[datapythonista]

Seems like the wrong label was the problem. Closing, since this is targeting the 2.0.x branch, and will reopen to main and backport. No idea why the CI is unhappy in 2.0.x and happy in main, I guess it's about the version of dependencies, but worth fixing it everywhere.