The GDPR cookie toolbar includes 2 links for the cookie policy and the privacy policy of your website.
By default these links are empty links with no action assigned 'javascript:void(0)', it's up to you to add links in the component configuration to point to your policies. Notice that the GDPR regulation requires that you have both cookie and privacy policy on your website.
When dealing with this kind of settings, ensure that the Joomla! cache is properly cleared or disabled, as well that you have no javascript errors reported in the browser console (press F12 to open the browser console)

You find settings to specify links as in the image below under the tab 'Cookie consent' and section 'Toolbar contents', optionally you can enable the popup feature to include contents in a popup instead that opening a new browser tab.