For each term that you enter into the search index, you have an option to link that term to an actual search or not. Usually it will be linked.
The reason for choosing to occasionally NOT link a search term is when that term is used solely for organizational purpose within the hierarchy of your search index.
For example, you may choose to have two main categories of search terms, such as "Locations" and "Subjects". In this case, you don't actually want to link those to actual searches for the terms "Locations" or "Subjects". Those terms are there only to organize other terms categorized below them, so you would choose to NOT link them.