Update changelog for .nn checkpoints (#4240)

Co-authored-by: sankalp04 <30798796+sankalp04@users.noreply.github.com>

com.unity.ml-agents/CHANGELOG.md

 ### Major Changes
 
 ### Minor Changes
+- Model checkpoints are now also saved as .nn files during training. (#4127)
+- Model checkpoint info is saved in TrainingStatus.json after training is concluded (#4127)
 
 ### Bug Fixes
 #### com.unity.ml-agents (C#)