Linking your new profile to the app/game it will be used with allows it to work with the Auto Profile Switching system. So that whenever you are using that app your mouse is put into the correct profile automatically. If you don't do this you will need to select the profile manually using the Control Panel each time you go to use that app.

In order to link an app to a profile you will need open the profiles properties by right clicking it and selecting Modify.

In the dialog that opens click the Browse button and find the .app file for the app/game you want to link to. These can typically be found in your Applications folder.

In the dialog that opens click the Link App button.

This will open a list of your currently open apps for you select from.  Tick the checkbox for the app you want to link, then press the Link Apps button to create the link.

If the app you want to link is not in this list, you can either browse for its .exe file manually;  or launch that app, then close and re-open this dialog for it to appear in this list.