DOC: captions + update for latest pydata-sphinx-theme

[jorisvandenbossche]

This updates for the latest version of the theme (eg we were still using the variable names of the unreleased version, and those were changed).
Further, it also makes use of some new features.

One of them is that we can now have captions in the sidebar. @darribas I seem to remember that you initially wanted this when we made the docs (but at that time I said that the theme didn't yet support it, but would so in the future). I am only not sure what would be useful distinctions. What I tried out now gives:

Do we want something like that? (right now, the "reference guide" is a bit duplicated between the caption and the actual link ..)

[darribas]

Thanks! this looks great!

I vaguely remember I mentioned the use of captions to single out the API docs from the guides. Maybe we can use "USER GUIDES" and "API REFERENCE"?

I'd be happy to merge at any point if you think it's good to go.

[martinfleis]

This looks good to go!