When using the sidebar that catalogs all the links one document leads to, the unlinked mentions don’t display the button to then link the unlinked mention unless you expand the section of text that has the unlinked mention. If you can’t expand the section, ie the mention isn’t in a paragraph, you can’t link it using this method.
You can obviously still go through and link manually using brackets, but it takes a little longer, for me at least, and using the unlinked mentions feature is very nice.
As an additional note that might help, I haven’t used obsidian in a hot minute, I was kicked up to the most resent version though, getting the “what’s new” message for v1.5.3(with my installer being v1.413). I don’t know how much of an effect this would have, but thought I should be thorough with this!
Example Images(done in Sandbox vault)
After hovering over the first mention and pressing the down arrow to expand the mention:
