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For the Quest Link, just like with the Rift and Rift S, you'll need to complete setup in the Oculus app and enable "Unknown Sources" in the Settings>General tab. You'll also need to run SteamVR Room Setup, which will either launch when you run SteamVR the first time, or you can find it in your Steam library after launching SteamVR. This will let you play any SteamVR game with your Quest Link, including this one!
Try following this guide for setup: https://www.androidcentral.com/how-play-half-life-alyx-oculus-quest#wired
If you can launch something from your steam library and play it, then you'll be able to play this game. VR setup can certainly be a pain, but don't worry, you'll be able to play by the time you get it figured out. I've tested via Quest Link and confirmed that all features work as they should.