Jira issue link is automatically created, when Jira issue is mentioned on a Confluence page. However in Changes history for that issue in Jira user, who was used to create Application Link (between Jira & Confluence) is listed as one who created a link from Confluence to Jira (issue link). I believe, that user, who made page edit, which resulted in adding jira issue macro should be the one responsible for a change.
How have you set up your Application link? In order to have the user changes be mirrored between confluence and JIRA you will need to set up as a "Trusted Application". My guess would be is that you currently have your applicaiton link set up as an "Basic Access". Please make sure your incoming and outgoing communciation is set to "Trusted Application" and think should work as you expect.
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