Hmm. This might actually be an example of settings as a result of design failure.
The text in the screenshot describes the setting as applying not just to links but to "any interactive element". But most native desktop apps (which they're trying to mimic) would use a special cursor for links and a regular mouse cursor for other interactive elements, so it seems that (by entangling links and other interactive elements) the setting allows a choice of two incorrect behaviours instead of just behaving correctly by default.