Answer
Copy Link gives you a link to the actual user-facing web page (the UI) that displays the data — sharing it with another user (who has the right permissions) takes them to that same filtered view in the client. Copy Data Link instead gives you the underlying REST API URL that the web page itself calls behind the scenes to actually fetch that data. Copy Data Link is useful when you want to build something outside the standard client that consumes the same data directly via REST — for example, a custom PowerApp, a script, or an external integration — rather than pointing a person at the web page itself.