Updated the checklist to make more consice and add links to the appropriate files/folders. (#3491)

.github/PULL_REQUEST_TEMPLATE.md

 - [ ] Other (please describe)
 
 ### Checklist
-- [ ] I have added tests that prove my fix is effective or that my feature works
-- [ ] I have added updated the changelog (if applicable)
-- [ ] I have added necessary documentation (if applicable)
-- [ ] I have updated the migration guide (if applicable)
+- [ ] Added tests that prove my fix is effective or that my feature works
+- [ ] Updated the [changelog](https://github.com/Unity-Technologies/ml-agents/blob/master/com.unity.ml-agents/CHANGELOG.md) (if applicable)
+- [ ] Updated the [documentation](https://github.com/Unity-Technologies/ml-agents/tree/master/docs) (if applicable)
+- [ ] Updated the [migration guide](https://github.com/Unity-Technologies/ml-agents/blob/master/docs/Migrating.md) (if applicable)
 
 ### Other comments