If you disable Locations (by commenting it out in the YML file and rebuilding) does the Header Link component start working again?
@davidkingham is right, Locations has a few issues with the latest tests-passed, and as mentioned here:
It’s definitely worth posting in the respective topics for any theme components and plugins, rather than here in #support, which typically deals with issues related to core. Remember that many plugins come from third parties, so the only way they’re going to find out about issues is if you participate in their topics.