I have already created an "Application Link" between "JIRA" and "Confluence" and added it to trusted application, so they can communicate between each other.
Now, in "Confluence">"Space Admin">"Application Links" there is an option to create "Linked Space".
What is this going to do? If one can already browse "JIRA" issue and use them in "Conflence", what would enabling the 'Project to Space Application link' do?