With the Marker beam/pistol right click the first Warp Gate Computer then left click the second Warp Gate Computer on the other Gate.
I keep mixing up right click / left click so it could be the other way around.
Then right click the second Warp Gate Computer and left click the first Warp Gate Computer.
The most commen mistake when creating a round trip gate. Is to mix the right click / left click when you try to set the second link. Possible even ending up with no link at all because you ereased the first link.