It is added to
Sources/QueryString.php
if (!empty($modSettings['gdpr_enable_privacy_policy']) && $modSettings['gdpr_showprivacypolicylink'] == 1)
{
global $txt;
$buffer = preg_replace('~(, Simple Machines LLC</a>)~', ', Simple Machines LLC</a><br /><a href="' . $scripturl . '?action=gdpr;sa=privacypolicy">' . $txt['gdpr_privacypolicy'] . '</a>', $buffer);
$buffer = preg_replace('~(class="new_win">Simple Machines</a>)~', 'class="new_win">Simple Machines</a><br /><a href="' . $scripturl . '?action=gdpr;sa=privacypolicy">' . $txt['gdpr_privacypolicy'] . '</a>', $buffer);
}
You can change the link url and text there as well