How to insert a link in a checkbox?

You don’t necessarily need to put it in the checkbox itself. Here is what I have done.

<label>
    [checkbox terms "Yes"]
    <span>I agree to the <a href="/terms-conditions/" target="_blank">Terms & Conditions</a></span>
</label>

The label wrapped around the entire thing allows the text to check the box and also allows the link to work.

Just use CSS to style everything the way you need it then. You can even hide the “Yes” that would show by default with:

span.wpcf7-list-item-label {
    display: none;
}

Hope this helps!