This control is always disabled when you open the Global Hotkeys tab-page. Only after having clicked the Link active checkbox or after having changed the Shortcut Hotkey this control becomes enabled:
Clicking this Save-Button saves the current Shortcut-Location settings:
If the Link active checkbox is currently checked 
and there is NO Shortcut Link in the selected Shortcurt Location then a new Shortcut Link will be created in the selected Shortcurt Location and any Shortcut Hotkey in the Hotkey edit field will be applied to the saved Shortcut Link.
In the same way, if there is already a Shortcut Link in the selected Shortcurt Location and only the Hotkey was modified then the existing Shortcut Link will be updated with the current Hotkey in the Hotkey edit field.
If the Link active checkbox is currently unchecked 
and there is a Shortcut Link in the selected Shortcurt Location then the existing Shortcut Link will be REMOVED.
Please note: If you try to ADD, MODIFY or REMOVE a Shortcut Link in one of the Shortcut Locations Desktop (all users), Startmenu (All users), or System32 then Windows displays the UAC (User Account Control) prompt which indicates that Administrator privileges are needed to perform this operation. Simply answer the prompt by clicking the "Yes" button.
See also: PA-RUN ShellLink Shortcuts