The cross-save process requires that all linked platform accounts be authenticated. You only mention authenticating your Xbox and PSN accounts, though you also show a Steam account linked to your Bungie profile. If you do not wish to include your Steam account in your cross-save setup, you will need to unlink it from your profile first, which is done in the Account Settings.
Only once each and every linked account has been authenticated, will you be able to click the Continue button. Please take care to read all of the setup instructions, including warnings, and make sure you are selecting the correct account as your active save data.
https://help.bungie.net/hc/en-us/articles/360049498031-Destiny-2-Cross-Save-Guide
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Okay, all working again now. I didn't realise that everything needed to be updated all at once but it's all good now. Thanks for the help!