There is no view link because it does not exist.
As you've already mentioned: a membership is an entity. Entities, by default, don't have display pages. You use a custom entity if the data does not necessary has to be publicly displayed on its own. Otherwise, you could use nodes (which are nothing more than extended entities).
In this case, the entity
og_membership is used to store data about which users and nodes are connected. In addition, OG Groups provides some views which generate lists with these memberships. Of course, you can also create your own views.
The fields you attach to the
og_membership entity can be displayed in these views.