I tried to link on the settings tab -> KNOWLEDGE BASE -> Confluence KB -> Configure a Confluence knowledge base -> Link to a knowledge base and then I got this error:
What could be the reason?
Based on the message you're receiving I suspect you might not have 2 legged oauth enabled in JIRA. Check through the following portion of our article on linking ServiceDesk and Confluence as a reference
David Di Blasio | Atlassian Support
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