That is probably referring to a different mechanism, i.e. that synaptic feature may rely on using "apt-get changelog packagename" to retrieve, on demand, the changelog file for a (one) particular package. Because "deb-src httpblahblah" lines are not present in our sources.lists by default (adds significant overhead to each apt update check), the apt-get changelog option is unavailable.Synaptic tells me the source doesn't support changelogs.
apt-listchanges, in contrast, necessitates download of each entire debfile.
After installing apt-listchanges, you could (mentioned the --which option, so I guess you already have) read its manpage, then
You can configure it to automatically display the changelog stanza for the current version of a package at time of upgrade, as part of the workflow. You can also configure use of the --confirm option, which will provide you opportunity to Y/n accept or decline upgrading a given package after having viewed its current version changelog details.
As rich mentioned, with apt-listchanges in place, the synaptic workflow should automatically popup a dialog displaying the changelog stanza for each to-be-upgraded package. (Interesting reading, if enabled temporarily/occasionally; eternally wading through those popups soon begins to feel tedious though.)
When launched from commandline, apt-listchanges will read the /usr/share/doc/packagename/ NEWS and changelog for an already-installed package, if the package installed those (exact) files. AFAIK, mx-packageinstaller (same goes for many other packages) does not https://github.com/mx-linux/mx-packageinstaller place a NEWS file. Check it: does /usr/share/doc/mx-packageinstaller/changelog exist? If not, that explains why commandline apt-listchanges reports nothing.