How to add link on confirmationMessage for the button ?

The Confirmation Message pop-up is not customizable, beyond changing the header, message, and button texts.  (In the past, we couldn't even change the button text, so...)

I would recommend you look into implementing this in other ways.  Perhaps you could have a rich text field containing your "for more information" link that's either always shown on the form, or shown under certain conditions only.