Enable codecov github-check in CI (#10404)

This PR enables github-check for `codecov` that annotates code changes that are not being covered in pytests.

Authors:
  - GALI PREM SAGAR (https://github.com/galipremsagar)

Approvers:
  - Bradley Dice (https://github.com/bdice)

URL: #10404

codecov.yml

@@ -2,4 +2,7 @@
 coverage:
   status:
     project: off
-    patch: off
+    patch: on
+
+github_checks:
+    annotations: true