Hi @m-standfuss
You are right, this link is just a link to open SonarCloud. We already noticed during a user testing session that this is confusing. You are not the first one to have expected that the connection between SonarLint and SonarCloud would be automatically set up after clicking on the link.
We have a massive rework of the connected mode planned for 2022, so I guess this is the kind of thing we will improve.