Swap “entity-type” to “release” and the link will work.
[release:ef4a2840-de64-4d4c-a446-4e3e3da7301b|Music for Millions: Vol 1(1989 King Disc label, big band release)]
What the instructions means is to name the type of thing of your link. Basically trimming the “type of entity” from that original URL you copied the MBID from.