Late response but here is what I did. If I remember correctly.
1) Log into Steam and Epic in your web browser
2) Opened up 2 tabs at https://account.ioi.dk being logged out any IOI account.
3) Clicked Login with Epic Account, it will ask you to link the account, it will specifically say that, don't do anything at this point
4) Switch to the other tab and Login with Steam account, fully login to IOI with Steam account
5) Click Link account in the first tab
They should be linked at that point.
Hope this helps, tried to remember exactly how I did it, as I was confused as well.
Perfect instructions. Do this everyone!