By default links for privacy policy are empty, this means that both links will have javascript:void(0) as an empty browser link is supposed to have and a new tab could open with 'about:blank#blocked'.

THIS COMPONENT DOES NOT GENERATE YOUR COOKIE AND PRIVACY POLICY! It's up to you to add a link for your privacy and cookie policy under the component settings, or as an alternative you can directly add contents inside the component editors:

Once that you have added a link to your policy or contents obviously the links won't be anymore empty with a value javascript:void(0).

Pay attention that for the link to the privacy policy checkbox used within forms, another parameter is used for the link:

NOTICE THAT YOU MAY NEED TO DISABLE OR CLEAR THE JOOMLA CACHE IF ENABLED WHEN CHANGING THESE SETTINGS! IF YOU HAVE PAGE CACHING YOUR CHANGES WON'T BE APPLIED!