It’s copied to your virtual clipboard, which is "the" virtual space in memory where everything is copied to in order to paste it elsewhere, such as text or images, often using Ctrl+C. That means you can paste the link anywhere you want, such as in another browser, app, or text document (using Ctrl+V).

"Link" here refers to the URL in the address bar, and it does the same as right-clicking a highlighted address and choosing Copy.

Usually you would use Copy when you plan to paste the link somewhere, for example, into an email. If you want to save the address to return to later, you could bookmark the page. See: Bookmarks in Firefox.