Set CallbackList children's parent correctly

Fixes issue #1791 by setting the .parent attribute of all children of CallbackList to the CallbackList's parent.

Motivation and Context

Closes #1791.

[x] Bug fix (non-breaking change which fixes an issue)
[ ] New feature (non-breaking change which adds functionality)
[ ] Breaking change (fix or feature that would cause existing functionality to change)
[ ] Documentation (update in the documentation)

[x] I've read the CONTRIBUTION guide (required)
[x] I have updated the changelog accordingly (required).
[ ] My change requires a change to the documentation.
[x] I have updated the tests accordingly (required for a bug fix or a new feature).
[ ] I have updated the documentation accordingly.
[ ] I have opened an associated PR on the SB3-Contrib repository (if necessary)
[ ] I have opened an associated PR on the RL-Zoo3 repository (if necessary)
[x] I have reformatted the code using make format (required)
[x] I have checked the codestyle using make check-codestyle and make lint (required)
[x] I have ensured make pytest and make type both pass. (required)
[x] I have checked that the documentation builds using make doc (required)

As this is a small change, I don't think any changes to the docs are required. Happy to add documentation somewhere if it's required though.