Now our live would be a lot easier, if we could just click on the message to fix the issue. Luckily, with a litte hack, this is possible: IntelliJ provides a possibility to define custom output filters for "External Tools". Therefore navigate to "Preferences > Tools > External Tools". Add a new one with "mvn" as command and "validate" or whatever triggers checkstyle as parameter.
Then click on "Output Filters" and a a Filter with an arbitrary name and "$FILE_PATH$:$LINE$(:$COLUMN$)?.*" as Regular Expression.
If you now choose "Tools -> External Tools -> Checkstyle" Maven will run again producing a nicely linked output: