Not using the default 'Label' field for the Boolean checkbox, but you still can accomplish what you want. Instead, you may have to select show label: no for the privacy statement Boolean and add another widget to hold your caption. You can use the Format String Widget from the app store. This will allow you to write a custom caption in HTML that includes your link in a <a href=" "> tag. You may have to do a bit of styling to get things to line up right, but it should be pretty straightforward.
Thank you again