How can I change the value of privacy-policy-cookie-restriction-mode link to a link of my choice? I am using Magento 2.3.2. I saw this Magento 1.9 but I do not have such page. Is there something I am missing or did wrong?
You can copy the cookie notice template to your own theme and change the URL according to your needs.
According to this answer you can copy the template from this file:
to your own theme: