@Kristin Scheucher, this is a bit confusing.
It appears you have Confluence Cloud, but you're entering a URL into the Navigator as-if you had it on-premise (jira.domain.com instead subdomain.atlassian.net). Furthermore, you do not configure Application Links in the Application Navigator. You must navigate to Administration and configure the Application Link there instead.
https://confluence.atlassian.com/display/JIRA/Linking+to+Another+Application
Additionally, since you are on Atlassian Cloud, if you run into issues you should contact support.atlassian.com for your service offering.
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When using Cloud, I think your best bet is to contact support. That error message is pretty useless without a log. And you can't access a log in Confluence Cloud, from what I know. See here: https://answers.atlassian.com/questions/112862
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How can I download the log or where is the log saved?
I use the Cloud Version ...
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Is there an error message in the Confluence log? If so, please add i.
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