The Helix is a bit limited on controls. By default almost nothing is assigned. So you need to do that manualy.
You need to right click on parameter on the helix plugin and assign knob or switch control to parameter on the plugin.
Cool thing is that you can cross function parameters by using say knob 1 to control parameter x on first plugin and control parameter xx on second plugin.
When linked, adjusting knob 1 assigned parameter on one of the plugins will link the action to the other plugins assigned knob 1.
The only parameters wich are assigned by default are the input/output volume and Master bypass.
A litle tip from me. When you channel link plugins. When ever plugins dont link adjustments. Go in to the quick controls and open up the plugins controls. Here you will see wich parameters that are visible for Cubase to control. On some plugins like Helix that control is Custom. On other plugins the parameters you want to adjust might not show at all. In any case try right clicking on the plugin parameter and see if it promps up with control assignment or show/hide control assignment. Enter plugin settings to see if it has its own plugin link option or parameters can be turned on global.
In any case Cubase must se the parameters from the plugin and Parameters must be assigned on plugin for plugin Link to work.