The fact that you have multiple headers (footers) is not sufficient for the Link to Previous option to be active. Instead, a new section is required.

Each type of header or footer (first page, odd page, even page) can only be linked to/unlinked from its "neighbor" in the preceding section.

In other words, you have to add a section break, so that the current section 1 becomes section 2.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional