It is not necessary to link the zones. But let's step back, perhaps this will be helpful.
Two different mechanisms are merged into the Media Network: DLNA and Library Server.
DLNA provides music, movie and video serving and playback from enabled devices.
Library Server is Media Center technology, which allows one Media Center instance to control or be controlled by another instance.
In either case, Media Center supports multiple playback zones, and these zones may be selected for playback regardless of the underlying technology (eg. DLNA or LS). In MC, the standard playback and control commands (eg. Play, Stop, Pause, FFW, etc.) default to the currently selected zone. Normally, this would affect playback on your PC's soundcard. If instead you have a tab opened to some other zone, and that was the last zone selected, these default playback commands will affect that zone's playback. Alternatively, you can used the Send To command to submit a list of items for playback to any available zone.
It might be clearer if you rename the Here zone to the name of your PC. On Library Server clients, you can do likewise. Then, on the server, open a tab, select Playing Now and then select the zone you want to send files to. In another tab, go to some view under, say Audio, and select some album to play. You'll notice it goes to the last zone you selected. You can verify this by going to that Playing Now tab still open, and see the list of tracks. Now, go ahead and select another zone while in that tab, and again return to your album list, and select some other album and play those tracks. Back in the Playing Now tab, you'll see that album tracks playing.
If the zone happens to be some other computer, soundcard, or LS client or DLNA-enabled device, MC will issue the appropriate protocols to send the media files to their destinations.
See also:
http://wiki.jriver.com/index.php/Library_Serverhttp://wiki.jriver.com/index.php/DLNAhttp://wiki.jriver.com/index.php/Zones