Hey @ElizabethEK @Acherrum, Welcome to the forum…
Sometimes Steam can take a while to update to the EHG servers on the back end… Usually its immediate, but occasionally there will be an odd delay that just requires waiting a little while. If you purchase directly from EHG then this doesnt happen so its likely just something with the early access back end via Steam.
If you want to link you Steam account after the fact you can login to your EHG account:
Keep trying, if its still not working after more than an hour or so, then Submit a request – Last Epoch Support directly to support.
ps. I dont work for EHG, just helping out.