Migrate doc files to Markdown. (#24376)

* Rename index.mdx to index.md

* With saved modifs

* Address review comment

* Treat all files

* .mdx -> .md

* Remove special char

* Update utils/tests_fetcher.py

Co-authored-by: Lysandre Debut <lysandre.debut@reseau.eseo.fr>

---------

Co-authored-by: Lysandre Debut <lysandre.debut@reseau.eseo.fr>

docs/source/en/sagemaker.md

@@ -0,0 +1,29 @@
+<!---
+Copyright 2020 The HuggingFace Team. All rights reserved.
+
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing, software
+distributed under the License is distributed on an "AS IS" BASIS,
+WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+See the License for the specific language governing permissions and
+limitations under the License.
+
+⚠️ Note that this file is in Markdown but contain specific syntax for our doc-builder (similar to MDX) that may not be
+rendered properly in your Markdown viewer.
+
+-->
+
+# Run training on Amazon SageMaker
+
+The documentation has been moved to [hf.co/docs/sagemaker](https://huggingface.co/docs/sagemaker). This page will be removed in `transformers` 5.0. 
+
+### Table of Content
+
+- [Train Hugging Face models on Amazon SageMaker with the SageMaker Python SDK](https://huggingface.co/docs/sagemaker/train)
+- [Deploy Hugging Face models to Amazon SageMaker with the SageMaker Python SDK](https://huggingface.co/docs/sagemaker/inference)
+- [Frequently Asked Questions](https://huggingface.co/docs/sagemaker/faq)