The only difference I can see is that on the site with the copyright change option, it’s running Version 1.2.65 of the GP Premium plugin while the site without the change option (and the one I can’t get to update) is running Version 1.6.2 of the plugin.
As a workaround, I then tried to make the update in Customize > Layout > Footer, and then hit Publish. I could make other changes using the customizer, and I could even get the copy to change. However, it doesn’t seem to accept HTML. Below is the code I used (with my domain in the redacted section).
If you go to the live site you’ll see the copy but it’s not hyperlinked, despite me trying to save the HTML numerous times.
If I add HTML to the customizer, ALL changes I made to that copy block are removed. So if I add copy about the privacy notice and link just part of it, that whole sentence is wiped clean when it’s saved and when I go back it’s gone even in the customizer (and doesn’t update on the site). If I don’t add any HTML, the copy updates as expected.