Which one: encodeURIComponent or encodeURI?
For a value that goes inside a URL, encodeURIComponent, since it escapes & = / ? #; for a whole URL, which must keep them, encodeURI. The tool’s “A value” and “A whole URL” are those two, and the whole-URL mode also leaves escapes already there alone.
Is a space %20 or +?
Both, in different places. In a path it is %20, and + is a plus; in a query string and a form body a browser writes +, and servers read either there. Untick “+ is a space” to decode a path.
What does %2520 mean?
That the text was encoded twice: %25 is the percent sign itself, so one decode gives %20 and a second gives a space. The tool says how many layers it finds and takes them all off when asked.
Is this link safe to click?
The tool shows where it really goes: the host after any user name, a Punycode name as its letters, and a label that mixes Latin with look-alike letters. It cannot see what the page does, since it never opens it.