The entry should be in Connections prior to the user logging in. Otherwise, the user should use the “Edit My Directory Entry” admin page added by Link to add their entry. This is the intended workflow.
What trips people up in testing is that links are checked for only once and they are persistent. Link will check once when the user logs in and if no email address match is found, that user is not checked for a match again no matter how often you change the email address in the user or Connections entry. The reason links are persistent is that users change email addresses fairly often; you wouldn’t want a link to break because of an email address change in either the user profile of the entry. You also wouldn’t want it easy to hijack the links.
Because links are persistent, they are also difficult to break. If you need to for any reason, you have to delete both the user and the their entry in Connections and re-add both.
I hope that makes sense!
This is the suggested testing methodology:
Create a new entry in Connections with an email address.
Create a new user in WordPress with the same email address.
Log out of WordPress.
Login as the new user.
Go to the Edit My Directory Entry admin page.
The user should now be linked to the Connections entry.
If a link is not being created perhaps you are using a membership type plugin. If you are, it is possible it is hijacking the login process before Link has the opportunity to run. If that is the case, please contact support.