I can create checklists in Notes on any other OS X and iOS device but I can NOT create Notes' checklists using an iPad Pro (either with or without the Smart Keyboard). Is this a bug?
I don't have an iPad Pro, but I'd like to think you can create a checklist via the Notes app like you can on other iOS 9 devices. Hopefully, someone with an iPad Pro can confirm your claim or can provide assistance on how to create a checklist via the Notes app on it.