Your ''linking issue'' is not really an ''issue'', but a USAGE problem.

SO...

When you link a defect to a Test Set from the Execution Grid (linked Entities tab), it makes a more ''generic'' link between the TEST SET and the DEFECT.
From Test Set / Linked Defects tab you will notice Test SET icon in Linked Entity column in execution grid.

From selected Defect (in defect module) you will notice Test SET icon (from linked entities tab for defect).

When you click on a test in the Execution Grid to highlight it, then go to the Linked Defects tab, it STILL shows the links for the TEST SET, not for that SPECIFIC test instance.

When you Highlight test instance again and look at Linked Entities tab,
Still just the Test Set linked to Defect.

BUT...

When you click on the TEST instance link (Blue text), you CAN make a link JUST between the test instance and defect.
It brings up the Test Instance Detail (form). You can then select the Linked Defects tab and add a link to o defect.
Notice it will have a different icon for test instance.

This is the same as when the defect is created/linked from the Manual Runner when on as specific test.

I know it can be confusing.