WIP: Fix labels in MRs directing to issues page

What does this MR do?

Modifies the way that labels are rendered in the context of merge requests so that their URLs point to the merge requests page.

Note how clicking this awaiting feedback leads here rather than here

Are there points in the code the reviewer needs to double check?

Are there other labels that should also point the the MR page?

Why was this MR needed?

Confusing UX

What are the relevant issue numbers?

closes #19803 (moved)

Does this MR meet the acceptance criteria?

• CHANGELOG entry added
• Documentation created/updated
• API support added
• Tests
  • Added for this feature/bug
  • All builds are passing
• Conform by the style guides
• Branch has no merge conflicts with master (if you do - rebase it please)
• Squashed related commits together