[MPOps][Doc] Update NN module related doc to use the new API

## 🔨Work Item

**IMPORTANT:**
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* DO NOT create a new work item if the purpose is to fix an existing issue or feature request. We will directly use the issue in the project tracker.

Project tracker: https://github.com/orgs/dmlc/projects/2

## Description

- [ ] [Write your own GNN module](https://docs.dgl.ai/tutorials/blitz/3_message_passing.html#sphx-glr-tutorials-blitz-3-message-passing-py)
- [ ] [Chapter 2: message passing](https://docs.dgl.ai/guide/message.html)
- [ ] [Chapter 3: Building GNN Modules](https://docs.dgl.ai/guide/nn.html)
- [ ] [5.5 Use of Edge Weights](https://docs.dgl.ai/guide/training-eweight.html)

**All the changed docs need to have a reference to the doc in the old API style and vice versa.**

## Depending work items or issues