When a request fails, a link to the documentation is only helpful if it takes you to the part that explains the failure. Otherwise you're still searching, just on a different page.
An error from /country/zz looks like this:
{
"code": "not_found",
"message": "Country not found: ZZ",
"docs": "https://parseapi.com/docs#not_found",
"request_id": "req_msl1m5ue_tqhmqh1"
}
The docs link opens the not_found section, where you can read what that code means. A missing key points to invalid_api_key. A rate limit points to rate_limited.
Using the error code as the section's anchor keeps the connection easy to follow. You can see the same name in your log, in the JSON, and in the documentation. If an error doesn't have a dedicated section, the link falls back to the general errors section instead of pointing at an anchor that doesn't exist.
An app can put that link next to the error message, or you can open it straight from a log. The response already has enough context to get you to the explanation.