I have the same keyboard shortcut (Control+Option+Command+L) setup for both Edit Link… and Add Link…
Neither of these work when a DTPO (2.0pb7) database is opened the first time. You first need to pull down the Format menu displaying Edit Link… or Add Link… and after that the keyboard shortcut will work as expected. It also continues to work on subsequent re-openings of the same database, just not after opening a new database.