Where did component datasheet pdfs go?

In previous versions of KiCad (before v4), there used to be a lots of datasheets in library/doc. I don’t see anything in https://github.com/KiCad/kicad-library which is where I would expect to find them.

Am I right in thinking these are no longer bundled with KiCad?

You are correct. The datasheets are not bundled with the library.
Currently the datasheet on the manufacturers webside is linked directly. Yes this is a problem if the link ever changes. (During the latest update of the regul lib we discovered that a lot of components had illegal links. I would guess this happens from time to time.)

This link is in the dcm file not in the lib files.

Ok, I was updating the 74xx.lib and it still has links into doc/74xx. I can replace those with a URL.

We also seem to have some components that are so obsolete they are only referred to in old text books…!