On an overall build summary, there's the "Issues" tab which shows any issues linked to this build, usually populated automatically based on what was attached to any commits.
If you click any particular stage under that build, it also has an "issues" tab, but is empty, and does not appear to relate to the overall build's issues tab. Why?
Great observation, I was able to reproduce this behavior after reading your question.
I found a bug report about it:
This bug was closed and according to the developer, this behavior is intended. The jobs would be used only to manually link issues that were related to that job only. It could be for example an issue created to report/resolve a failed test that works on that build only.
I'm getting in touch with the development team to check if I should open another bug for the page description. If this page is intended to be used only with manual links the description is wrong. Once I get updates from them I'll post them here.