What does the checkbox "link to content" do?
It seems you are in display settings of a content type and these are the fields it has. Link to content in this context means that when this field is displayed it will link back to the parent node.   It will be displayed as link similar to this
&lt;label&gt;Surname&lt;/label&gt;&lt;a href=&quot;/node/2&quot;&gt;This surname&lt;/a&gt;

where the /node/2 would be the url of the node you are actually viewing
NOTE: if you enable this on the default content type view mode it will not make much sense as it will link on the page you are currently on (node/2).  This makes sense for example when the node is displayed as part of a view and in that case if clicking on the link will take you to the full node.