Yes, it is a bug. It seems to occur on machines where I installed more the
on version of ms-access.
In fact, the following KB article says if you install a2002, then it breaks
the feature in a2003
(often, this is why many of use say that if you are going to run 2, or even
3 versions of ms-access (which I have on my computer), then installing them
in order helps a lot.
The is a solution here to restore your linking window: