chore: fix filenames and format in changelog unclog files (backport c…

…ometbft#2827) (cometbft#2837)

I've just spotted several problems in our changelog unclog data (one of
them long-standing!).

This PR fixes them.

The backport to `v0.38.x` and `v0.37.x` will only be partial (only the
entry fixed on `v0.37.0`).

---

#### PR checklist

- [ ] ~~Tests written/updated~~
- [x] Changelog entry added in `.changelog` (we use
[unclog](https://github.com/informalsystems/unclog) to manage our
changelog)
- [ ] ~~Updated relevant documentation (`docs/` or `spec/`) and code
comments~~
- [x] Title follows the [Conventional
Commits](https://www.conventionalcommits.org/en/v1.0.0/) spec
<hr>This is an automatic backport of pull request cometbft#2827 done by
[Mergify](https://mergify.com).

---------

Co-authored-by: Sergio Mena <sergio@informal.systems>
Co-authored-by: Anton Kaliaev <anton.kalyaev@gmail.com>