I have tried linking my Microsoft account multiple times.

Most of the time it would take me to the "two ways to sign in" screen. I tried both ways of the QR code and the website/code and every time the device I have done this on has said I have been successfully linked and that I could close the screen.

I would do that and Minecraft would then close the window, say signing in and load the main menu with the same option asking me to "sign in with a Microsoft account".

The last two times I have done this after I sign in on another device Minecraft tells me that my Microsoft account I'm trying to use is already connect4ed to another account on "PlayStation network". I only have 1 Microsoft account and 1 PSN account so this can not be the case.