Where is this header content coming from?

This content is from a „Static Block“ titled „Header BuddyPress„

Why don’t the links work?

BuddyPress links are unique to each site. You specified the pages of your site you wanted to host the content for each BuddyPress area when you installed BuddyPress. To make these links work you need to edit the this static block and insert the URL for your BuddyPress pages