There might be several reasons why you have been forwarded to this page:
You are using Jira Cloud
Most likely the application link is really missing.
Please have a look at the following guide to create it: 1.3 How to: Create Application Link (Cloud)
You are using Jira Server
Current Bug
Currently there is a bug in the addin that throws a wrong error message and forwards you to this page
It never works to connect to a http (= no https) Jira server from the modern Office Addin. Office runs in https and therefore the browser does not allow any connection to a http system. See https://developers.google.com/web/fundamentals/security/prevent-mixed-content/what-is-mixed-content for more information. Please make sure to upgrade your Jira to https or use the classical Windows installer if possible.
In Jira Server we can create the application link automatically - so it rarely misses.
Most often it is hidden by a Jira Reverse Proxy like Nginx. Please make sure the Reverse Proxy does not strip away / overwrites headers send by Jira.