Enable your Link List by changing the S2 Customization Wizard's Link List Support option to "Yes".
which is not entirely correct, as in reality, the option can be found all over the place, such that documenting it will not be a pleasant experience or make for a succinct/concise/easily understandable FAQ. Thus, I have added a line at the end noting this, so that it now reads:
Enable your Link List by changing the S2 Customization Wizard's Link List Support option to "Yes". In some layouts, this option will be found under the Sidebar or Modules tab instead.