Where should I put the link to my shop?

Short answer: In two precise places: the main menu of your website, and the Intro section of your Facebook and Instagram pages. Those are the spots DAGOBA expects, because they stay visible at all times.

Steps

Take the shop address as it appears in the "Activation + Shop address" section. That full address is what you use as the link.
Add an entry to the main menu of your website. A short label is enough: "Shop", "Our kit", "The club shop".
Add the link to the Intro section of your Facebook page, in the field meant for a website.
Do the same on your Instagram profile, in the bio link field.
Check every link by opening it from a phone, outside your administration session.

Two directions, not to be confused

There are two sets of links, running opposite ways:

Your pages to the shop — this procedure, and what DAGOBA expects.
The shop to your pages — the “Organization website”, “Organization Facebook page” and “Organization Instagram page” fields are filled in on the draft and appear right at the top of the shop. See How do I show my website and social links.

Both are expected.

A link published in a news item or a post does not count: it drops down the feed and disappears. Only a menu and an Intro section stay in place.

Going further

You'll know it worked when: A link to the shop is visible in the main menu of your website and in the Intro section of your Facebook and Instagram pages.