When trying to load checklist.component.html the URL is relative to your index.html and that is why it is failing. Just change it to
@Component({
selector: 'my-checklist',
templateUrl: 'src/checklist.component.html'
})
This will make it work. But, I'll recommend that you find out a way to convert your templates in a variable and avoid the relative path issue. I don't know typescript, but I know Babel do it, maybe this would work.
import template from './checklist.component.html';
@Component({
template: template,
selector: 'my-checklist'
})
For example, if using Babel, after transpiled the import will look like this
var template = '<p>Test</p>';
Awesome, eh?
Check this other questions, probably will help
Is it possible to import an HTML file as a string with TypeScript?
How to import external HTML files into a TypeScript class