In order to continue with cross-save activation, you must authenticate all platform accounts linked to your Bungie profile. As shown in the image you shared, you have not authenticated your Xbox or Epic accounts. If you do not wish to include your Xbox and/or Epic accounts in your cross-save setup, you would need to unlink them from your Bungie profile, in the profile settings (Accounts & Linking).
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That worked. Thank you very very much!