Improve gen_md_links

From Releease.md

   (Note you need to feed `maint/gen_md_links` only the
   *new* part of the changelog, since it doesn't
   remove from its output links that are already defined;
   and then of course it will report some missing links
   that are indeed defined elsewhere.)
   Then, fill in the URLs for any links that the script
   couldn't find.

We should make an idempotent script that DTRT with the changelog. Also it should run in CI.