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Hi GB1812,
This normally happens because the page where you’re trying to add the Related List at is a Wiki Page, not a Web Part page. Even though you can add web parts to a Wiki page, the Wiki page does not include the functionality for implementing web part connections.
To create a new Web Part page, please follow the guide below:
1. Click the Settings gear icon and choose Site Contents.
2. Click the Site Pages library or whichever library you want to hold your new Web Part page.
3. Click the Files tab of the Ribbon.
4. The Files tab appears.
5. Click the New Document drop-down list on the left of the Ribbon and select Web Part Page.
Based on my test, I was able to add the connection on the newly created Web Part page.
Regards,
Sheen