I can't say for sure what the exam would require you to say, but in 'real life' I wouldn't submit a change request for changes to working documents like the risk register, stakeholder register or lessons learned register. These are documents that could be updated far too frequently to make the change request process viable.

Which all documents need a change request for an update?

I know that once Project Management plan is approved, any change to the baseline or management plan will need a change request to update that document.

But if we are changing a Project document such as Risk register or Stakeholder register or Lessons Learned register, do we need to submit a change request? I believe we don't need one. Please confirm.