Fix sphinx gallery issue

[rly]

Motivation

Fix #600.
Also update h5py intersphinx URL.
Removing 'download_section_examples'=False seems to not do anything, even after adding sections. Apparently this feature was removed some time ago but the docs never updated: sphinx-gallery/sphinx-gallery#376

Checklist

• Did you update CHANGELOG.md with your changes?
• Have you checked our Contributing document?
• Have you ensured the PR clearly describes the problem and the solution?
• Is your contribution compliant with our coding style? This can be checked running flake8 from the source directory.
• Have you checked to ensure that there aren't other open Pull Requests for the same change?
• Have you included the relevant issue number using "Fix #XXX" notation where XXX is the issue number? By including "Fix #XXX" you allow GitHub to close issue #XXX when the PR is merged.
  Where 'download_section_examples' is now an unknown key. Fix Add support for Sphinx 4 #600.

[codecov]

Codecov Report

Merging #601 (86cfb2e) into dev (fcd52c0) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##              dev     #601   +/-   ##
=======================================
  Coverage   86.10%   86.10%           
=======================================
  Files          41       41           
  Lines        8207     8207           
  Branches     1765     1765           
=======================================
  Hits         7067     7067           
  Misses        810      810           
  Partials      330      330           

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