The online account automatically syncs with the mobile app - no linking is required!
Open the mobile app, and sign into your QuickBooks Online company with the same login credentials as the online account. The app will then load all the information from your online account to the mobile app, and all changes you make in the mobile app will reflect on your online account.
That error message sounds like it's from QuickBooks Self-Employed mobile app. Are you using QuickBooks Self-Employed or QuickBooks Online on the online account? If you're using QuickBooks Online, download the QuickBooks Accounting app from the iOS or Google Play store.