and this is a duplicate apparently https://github.com/ValveSoftware/steam-for-linux/issues/5086
I found this duplicate thread when I tried to troubleshoot the problem, I opened Steam from terminal to see the console output when clicking on this menu item, and it only produced that, no error:
ExecuteSteamURL: "steam://open/newforyou"
which lead my to this duplicate when I looked for this link in issues
Looking at the duplicate issue, this doesn't work at all wether I have ticked or unticked the setting "Notify me about additions or changes to my games, new releases, and upcoming releases".
Odd, this pops up no problem on my end:

Do you have GPU acceleration enabled?

On NVIDIA graphics, Steam can have issues with GPU acceleration. I'm using AMD graphics, so this might explain your issue.
You're right, it now opens the popup, they changed something, I though it would open the update changelog though, the little windows you have when an update is available, it does not.
Closing per the last comment.
Actually, it now works but only when the setting "Notify me about additions or changes to my games, new releases, and upcoming releases". is ticked. When I tested with the setting ticked or not it wasn't working.
Your system information
Please describe your issue in as much detail as possible:
When you click the Update news menu item, nothing opens, before it was opening a popup with the various Steam changelogs (like when there is an update available to download).
Steps for reproducing this issue: