cbllink is used to generate native .exe/dlls by invoking the LINK utility.
managed code assemblies are not linked but are instead generated directly by the compiler/code generator.
You can create managed code assemblies as either an .exe or .dll from the command line using the cobol command instead.
For .exe:
cobol xyz -ilgen(main);
For .dll:
cobol xyz -ilgen(sub);
Thanks.