Add missing sphinx dependency to setup.py

Description

This adds a missing dependency.
The version pinned is same that used to be in requirements.txt

We missed this in the CI and all tests were passing because sphinx gets installed by the docs requirements as well.

How Has This Been Tested?

With sweat, pain, and blood.

Relevant Documents (optional)

Types of changes

• Bug fix (non-breaking change which fixes an issue)

Checklist:

Reviewers

@roscar , because I can force you to look at it now.
@schmidtp , because you will see this early enough!