LOL @ Rounik!
Gray Links = Off
Purple Link = Same Level Link
The link setting in the arrange page has no bearing on this situation. It's only the environment's link that has any effect. If it's gray, well, no there's no linky. But if the environment's link is purple...
When you select a track in the arrange page, the [i]environment[/i] will switch layers (as necessary) and highlight the appropriate object in that layer to reflect the object assigned to the track you selected.
Hope that's clear.