CodeFixes triggered by cross file diagnostics don't work

When updating our Analyzer Test packages: https://github.com/dotnet/aspnetcore/pull/49843

We found out that "non-local" diagnostics don't let code fixes work. Manual testing also shows that non-local diagnostics don't show a squiggle in VS or a Warning in the VS Error List window. But does show the warning in the build output.

Currently our tests workaround the problem by setting `SkipLocalDiagnosticCheck`. But we should figure out what to do with our Code Fixers, and whether emitted diagnostics should avoid emitting diagnostics for other files or if VS has a bug there.

Refer to https://github.com/dotnet/roslyn/issues/57621#issuecomment-999347642 for some context