Probably has some javascript handler or something?

it was easy to test by turning off the adblock and it definitely doesn't work.

I just checked in Firefox on desktop - and their privacy policy links to a real page. I thought maybe it was recent, so I checked on the Internet Archive as well. Nope, it's been there since at least September.

Are they doing something weird and non-standard that may not work everywhere? Quite possibly. Is it a dummy link that goes nowhere, per your claim? Absolutely not.