Working with linked data (instances, as they’re also known in other DCC’s) can be fiddly and confusing in Blender. Instances are incredibly powerful, and allow you to work with vast datasets .. vital for use in large scenes.
As with many Blender workflow aspects, it has all the facility you could want for working with instances, but not always in the most apparent ways, or buried away in another tab. To add to the confusion, Blender uses the same terminology (“Linked”) which also refers to links from external files (usually known as “references” in other DCC’s). (blah bla boring, we know)
However …

You want to work with instances easier in Blender?
Link Widget is for you!

It’s an ever-present tiny widget that has zero overheads. It gives you an at-a-glance indicator for whether the active object object you have selected is an instance, and tells you how many instances of it there are. Always at the top of your screen.

It’s also interactive!
So clicking on it with modifier keys does many things with those instances, keeping you in the flow.

Single click
Disconnects all the instances and makes them independant objects.
Shift click
Makes all objects selected instances of the active object.
Alt-click
Selects all instances that are connected.
CTRL-click
Selects all objects in the scene that are instances, not just those that are the same as the active object.