The link for CA1066 http://go.microsoft.com/fwlink/?LinkId=734907 on https://github.com/dotnet/roslyn-analyzers/blob/master/src/Microsoft.CodeAnalysis.FxCopAnalyzers/Microsoft.CodeAnalysis.FxCopAnalyzers.md redirects to https://github.com/dotnet/roslyn-analyzers/blob/master/src/Microsoft.ApiDesignGuidelines.Analyzers/docs/reference/CA1066_ImplementIEquatableOfTWhenOverridingObjectEquals.md which doesn't exist.
The link is also missing from https://docs.microsoft.com/en-us/visualstudio/code-quality/fxcop-rule-port-status
This is a chicken and egg problem. The link needs to exist to be on the diagnostic and the diagnostic needs to exist to have documentation.
I propose that the links be like C# compiler message links and have just the ID. This way, a diagnostic can have a link automatically assigned.