The red restricted icon shows up in the customizer because you can’t click external links when customizing your site or it would navigate away your site without your changes saving.
I think what the issue is, is that on save the anchor tag is stripped from the customizer copyright text value. So on output, it’s just not rendering.
I think the alternative option would be to write a custom function to filter the footer text, and append the text you want onto the value set in the customizer. In my testing, this appears to allow links to be added.
You’ll want to add the code to a custom MU plugin. We have a tutorial setup on one of our other themes that explains how to create an MU plugin.
https://godaddy.github.io/wp-primer-theme/tutorials-and-examples/tutorials/mu-plugin.html
Once you have the MU plugin created, you can drop the code below into it, save the file and the footer should display with the link.
/**
* Custom footer copyright text
*
* @param string $copyright_text Original theme mod copyright text from the customizer.
*
* @return string Filtered footer copyright text.
*/
function custom_copyright_text( $copyright_text ) {
if ( is_admin() ) {
return $copyright_text;
}
return $copyright_text . ' This is a <a href="#">test</a>.';
}
add_filter( 'theme_mod_copyright', 'custom_copyright_text', PHP_INT_MAX );