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Hey again, @joseragk
Sorry for the delay...
Does your Apple ID have two-factor authentication activated? If it doesn't, please, take a look at this Apple support article to get help with the instructions to turn it on.
You also need to be signed in to iCloud with the Apple ID on their Apple device in order to be able to link the services.
Keep me posted!
Just jumping in to add something to @hezorg's suggestion.
It'd also be good for you to follow the directions you'll find here under How can I link my account to Sign in with Apple? to make sure you're taking the right steps while completing the process.
Hope you'll find this useful. Let us know if there's anything else we can help with!