Improve the plotly example concerning how to make the thumbnail work

[smarie]

We should probably explicitly show the conf.py extract:

import plotly.io as pio
from plotly.io._sg_scraper import plotly_sg_scraper

# Sphinx gallery configuration
pio.renderers.default = "sphinx_gallery_png"  # "sphinx_gallery"
sphinx_gallery_conf = {
    ...
    "image_scrapers": ('matplotlib', plotly_sg_scraper),
}

and we should advise to install kaleido instead of orca as written in https://plotly.com/python/static-image-export/

Finally, the image to show as a thumbail should be displayed using show

from plotly.io import show

fig = ...
show(fig)