I fetch the branch associated with the pull request and check it out with the following commands:

git fetch origin pr-branch-name
git checkout pr-branch-name

Then, in IntelliJ, I open the Git Log GUI, right-click the merge base, and select Compare with Local, which allows me to explore the changes in IntelliJ. However, I always keep Bitbucket open in parallel if I want to comment on specific changes.

For me, this approach offers a satisfactory balance between using IntelliJ's rich features while keeping the PR review process simple.