Ok, so I guess it is time to revise the help files?
I got around it, similar to the description but also something else.
1. In the Shell, "edit defintion" window right click any ply angle. Click "edit/define" in the "Select parameter" window.
2. Fill in the paramers like this and leave the last line highlight. Apply and OK.
3. OK or cancel if you return to "Select parameter" that should look like this:
4. Now to link the parameters, right click the appropriate "ply angle" in the shell "edit definition" window. Select "link value" and select the matching parameter you made in the "Select parameter" Window", click OK. Repeat.
5. Now each parameter should appear with a * as linked in the parameter window. Also available as "add parameter" in a design study.
Hope this can be helpful as I am obvously not the only one spending time being annoyed with it.