Once you complete the initial setup, the Check Engine Light should appear within 30 seconds. However, if your Link needs to update its firmware, there could be a delay.
During this time, if you want to see your Check Engine Light, you might need to manually toggle to the check engine light screen multiple times in order to recheck for engine trouble codes. Once the firmware update is complete (this should happen after half an hour of cumulative driving), normal operation should resume.
To learn more about your vehicle's "Check Engine" light, check out this blog post.