No, you’re not missing something.
It’s just a limitation of Smart Objects in CS2.
Does physically linking it matter?
You’ll need to rasterize it first.
Time for a feature request! Thanks anyway.
Update: I figured out a different solution to my problem. I can create a mask layer and apply it as a CLIPPING mask by placing it directly below the smart object and ALT-clicking between the two layers. Then, I can select both layers and link them. That way I can move the cropped smart object in one movement. Terrific.
YrbkMgr, it matters to me since otherwise I’d have to move the clipping mask and the cropped image separately. Mildly to majorly annoying.
Maybe I’ve helped someone, maybe not.