When a CCM user links a work item to a Windchill change request, if the link is created on CCM but not on Windchill, this is the sign of a faulty project association.
This is certainly because the link type chosen to link the CCM work item with the Windchill change request has not the correct type.
When facing this problem, you've to ensure the CCM project area is associated to the Windchill product or part with the correct association type, this will render the correct link type available.
When Adding an Association from CLM CCM with Windchill, carefully choose the Provides - Related Change Request association type.
Now, redo the same linking operation between a CCM work item and a Windchill change request, and take care of choosing the link type Add Related Change Request.