Category links are specialized in that they are treated as tags by the wikimedia software, telling it in which categories to place the article in. Because of this, category tags do not appear in the body of articles, rather, they are displayed at the bottom of the page on the category line.
However, sometimes it is necessary to create a link to a category. But if you use the normal link syntax on a category name, it will not appear in the article. For a category link to appear, you need to place a colon (:) at the beginning of the link, like this [[:Category:Exercise]], which shows up like this: Category:Exercise.
So don't be shocked when your link turns up missing, it just means that you forgot to use the special syntax for category links. All you have to do is add the missing colon.
The same applies to links to Wikipedia in other languages. To create a visible link to the Indonesian Wikipedia article "Teknologi," use the id prefix for Indonesian, with a colon before it to keep it visible: [[:id:Teknologi]], which creates id:Teknologi.