The footer link is placed inside an “unordered list,” which is code that is usually used to create a bulleted list. However, in this case, the list is formatted without bullets, according to the stylesheet (styles.css) of your theme.
There are three methods you can use to insert a link in a block:
Code that is inserted by a Frontend App is slightly different, but the result is the same. You can use any of these methods to add a link to a block, or even combine them in the same block.