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Finally got it. It didn't appear until after Jude joined the party -_-
I'm still a bit lost on how to do Link and Link Attacks though. I get the D-pad, but ya can apparently cancel the link with up?
And to do the Link Attack, just hold R2 after any arte while Linked?
To link wit a character, you press the direction they are in on the status bars at the bottom of the screen and press in the direction of your character (Up if you are first player) to cancel the link.
To do link artes: when you use an arte that is compatible with your partner, a symbol will appear over your character (Silver for Common & Gold for Unique) Common means that a varitey of characters can do that same link arte, but unique keeps it for that specific pair of characters. And when the symbol is over your character you press R2 and the Link Arte will activate.