Add Problem Matchers to our GitHub Actions workflows

I think we should look into adding Problem Matchers to our Github Actions workflows. They make use of GitHub Annotations feature so the problems could be shown right under the related code (see example [here](https://github.com/python/cpython/commit/5c44836275b69c2c782153d3beb47dab2056dd3e)).

Example implementation for Sphinx errors:
https://github.com/python/cpython/pull/20325/files

Problem Matchers documentation:
- https://github.com/actions/toolkit/blob/master/docs/commands.md#problem-matchers
- https://github.com/actions/toolkit/blob/master/docs/problem-matchers.md

Annotations aren't perfect for everything but I think it could make it easier to fix some problems that contributors may encounter. Once we get to adding those, we may need to discuss if we want it (and do we want to stick it everywhere or just in some places)