It was correctly linked.

Turned out we were missing one extra private endpoint of type 'dfs'.
So for our storage account we needed to create 2 private endpoints, both configured on the same subnet with one of subresource type 'blob' and one subresource type 'dfs'.

We still have an issue with connecting to it via serverless, but that probably needs some NCC setup in the account console.

Thanks for the help!