This thread is closed but doesn't give a good answer:
I was having problems with this as well. I knew tons of sites were linking back to my site but none were showing up in the Incoming Links area.
I went to check configure and realized that somehow the settings were imported from my local install where I developed and tested the site. I changed the URL within the configure options (click configure in the header bar) and wah-la! Instantly 10 link backs showed up.
So, if it's not working, be sure your URL is correct under the options.