I have the same issue in that the app shows not linked. I also have an issue with my new Audi data plan in that it doesn’t work - something I need to raise with my dealer. So I am forced to enable my iPhone personal hotspot every time I get in the car. As others said this is very clunky, so I figured out a solution that makes it seamless.
Find the ‘Shortcuts’ app on iPhone. Under the Shortcuts tab create two new short cuts.
1. Turn on Personal Hotspot
2. Turn off Personal Hotspot
As in green below.
For each one configure as shown:
Do the same for ‘’off’. Then switch to the Automations tab and create two new Automations as below:
Configure these as shown:
Making necessary alterations for on/off.
Now, when your car establishes the Car Play connection it will automatically start the personal hotspot and your car will connect.
Hope that helps hide the issue!