Yes. Because the terms and conditions label supports HTML you can style it as you like, including adding more links to other policies and pages.
First, lets create the label text you'd like to set.
Use the following template in order to link a certain text to a page:
<a href="<THE LINK TO YOUR PAGE>" target="_blank">THE TEXT YOU'D LIKE TO MAKE A LINK</a>
For example, if your terms and conditions label text says:
I agree to the terms and conditions and to the shipping policy
Then in order to link both "terms and condition" and "shipping policy" words, you need to wrap them with the above HTML tag, so it will look like this:
I agree to the <a href="https://mystore.com/pages/terms-and-conditions" target="_blank">terms and conditions</a> and to the <a href="https://mystore.com/pages/shipping-policy">shipping policy</a>
Go to your store's admin dashboard (https://your-store.myshopify.com/admin)/
Go to the "Apps" section:
3. Choose "Terms and Conditions Checkbox" from the apps list:
4. In the Terms and Conditions Checkbox dashboard page, set the Terms and Conditions Text field to the text you have created at the top of this guide (step 1), and delete the contents of the Terms and Conditions Link field:
You're done! :-)