You can force click on the link if you have a trackpad that supports it. There are probably ways to simulate a force click even without such a trackpad. The same also applies to iOS: links can be previewed across many apps by long pressing.
That shows the whole webpage. It looks like they just want to see the link in the lower left, which can be done, as others have said, by turning on the status bar from the View menu.
KB here: https://support.apple.com/guide/safari/go-to-websites-ibrw10...