[DOC] Improve Sphinx C++ documentation

[vyasr]

Report needed documentation

As of #13846 we will start publishing the C++ documentation as part of the Sphinx doc build as well as via doxygen. The long-term plan is to unify these two and remove the latter, but before we do so we should make sure that we're happy with the Sphinx output replacing the doxygen. This issue is for tracking improvements that we want to see to the Sphinx docs.

Improvements:

• Starting list

Once we're happy, the final migration from doxygen will involve the following tasks that cannot be done until the end:

• Update inline tables in doxygen to a style supported by Sphinx's text builder (see b2dae66)
• Update anchors in developer documentation so that cross-linking works via Myst (see b2dae66)
• Add developer documentation pages to Sphinx docs (see b2dae66)