I think that message means you didn't open the part file with the original assembly (or context) where the links were defined.
(If you look in the tree at this instance, you'll probably see the icon has a brown gear in it)
You have two easy ways to fix this: 1. open the assembly that was used to define the links, or 2. open the part in a different assembly, right click on the part, component, and Define Contextual Link.
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