Yup, there is no UI to do it manually, but you can email the people at KDP and they will link the book for you. I've waited for it to happened automatically in the past, and it hasn't worked out for me.
Once linked, you can also do cool things like offer the ebook at a discount (or for free) if they buy the print version.
Having both versions on the same page really makes the whole thing look more 'professional'.
...and this is done now. The books are linked up. Once Amazon finishes processing the change, you'll be able to buy the Kindle version for $3 after you buy the print edition.
This is an old self publishing trick to make the kindle version seem like a bargain, and can drive sales.