please define what you mean by link. To me that would be that one file can read data from another file even when its not open. iCloud is not meant for that, but to keep the same version of your document available across devices.
Office will let you link files together, but not from cometitors programs, they would all have to be Excel for example. And they would need to be accessed directly from the program lcoally through a network or drive.
Same question on syncing between office mac and numbers/pages. Numbers and pages can open Office Mac files, technically. and save them back, but they will look different in most cases.
please clarify and give some exampels so we can better assist.