insights: More backend dev doc updates

Created by: CristinaBirkel

Closes https://github.com/sourcegraph/sourcegraph/issues/30195

Description

I added a section for "Running Locally" that I think will be useful. Also fixed a few broken links. Is there any other scope we want to cover here?

Merging this into the existing PR with the bulk of the changes.

Test plan

Docs only change.