magento-test/app/code/Magento/Customer/view/frontend/templates/messages/customerVatShippingAddressSuccessMessage.phtml

<?php
/**
 * Copyright © Magento, Inc. All rights reserved.
 * See COPYING.txt for license details.
 */

/** @var \Magento\Framework\View\Element\Template $block */
?>
<?= $block->escapeHtml(__('If you are a registered VAT customer, please <a href="%1">click here</a> to enter your shipping address for proper VAT calculation.', $block->getData('url')), ['a']);