I don't see how the H2 tag itself would be a problem. A bit strange from the linking site's on-page optimisation though.
What concerns me is that it's in the footer - unless it's not site-wide that could be an issue. And it may not result in traffic for you due to it not being seen.
The branded anchor text is good - as that's non-spammy.
So just check
- Not a site-wide link
- That they could change it from a H2 as that's not great for their SEO. (Add value to them!)