On https://developer.twitter.com/en/docs/direct-messages/welcome-messages/api-reference/new-welcome-message, you have a broken link in
The Message Data Object defining the content of the message template. See POST direct_messages/events/new (message_create) for Message Data object details.
It’s linking to https://developer.twitter.com/rest/reference/post/direct_messages/events/new (which does not exist), I think it should instead be linking to https://developer.twitter.com/en/docs/direct-messages/sending-and-receiving/api-reference/new-event.
Thanks, we’ve got a fix ready for the next deploy.