Knob links are not persisted to files. When you open the file again there is no link.
1. CTRL-Drag a knob to another
2. Save the project, close and open it again
3. Move one of the knobs. The knobs are not linked.
I was pretty surprized to see that knob to knob linking worked. I honestly dont think that type of linking is intended at all. -what you should do instead is to add one automation track and drag several knobs into that. those will be 'linked' and most important -the link can be cancelled! (showing that this is intended and working) The 'knob to knob' link cant be cancelled at all, and that is also why i think it is some kind of 'wild-link' -a feture in a superclass that un-intended also 'work' in the knobs