Regardless of the content of the cell in a DataGridViewLinkColumn, screen reader always read the column header and row number and never read the actual content of the cell.
We are using .NET Framework 4.8.1. This looks to me a bug of DataGridViewLinkColumn implementation.
We created a simple application to reproduce the issue, you can see the accessible name of the cells in the screenshot below. (attached is the code for this simple application)

Related bug created : https://msdata.visualstudio.com/Tina/_workitems/edit/4187788