Category links don't work like other links. Instead, they go invisible and put the page in the category specified. For example, if you write a message that says I think [[Category:Living people]] would be appropriate", it will appear as "I think would be appropriate" and the talk page you wrote the message on will be added to the Living people category. The link disappeared!
Sometimes it is useful to provide links to categories, such for listing categories on portals, or when you are discussing categories.
To make category links work like normal links, add a colon after the opening brackets. Then "I think [[:Category:Living people]] would be appropriate", appears as "I think Category:Living people would be appropriate".
You can also use {{cl}}, but this is less common.