This filter was added in Caldera Forms 1.7.
By default the privacy page URL link for consent fields and the consent field magic tag is the WordPress core settings page. You can change this with the “caldera_forms_privacy_policy_page_url” filter.
Where Does This Code Go?
When using WordPress hooks to customize Caldera Forms or other plugins you should not modify the plugin files, or you will lose your changes when you update the plugin. Instead you should create a small plugin to hold the custom code. It's easy, learn how here.
Technically you can add the custom code to your theme's functions.php, but then you will not be able to change your theme and keep these customizations.