Unbelievable. It is absolutely ridiculous that the answer by "gaita ole" is the one that works, but it does. So sad.
So I'm now looking at the possibility of having to name all the .pst files I want to do this with to "My Outlook Datafile". Sheesh.
Before I go, can SOMEBODY at Microsoft, a MVP, whatever... tell me why that is?
However after further investigation, I am somewhat happy to report that on a hunch, linking to a contacts folder in an Office 365 folder (basically Exchange online/cloud, a la the Exchange
Server suggestion/fix posted earlier) also works without a problem (without file name modification; don't know how to do that yet for the cloud file anyway :)