If the site-wide setting for auto-linking is set to On, you do not need to enable it at the course level. If the site-wide setting is set to Disable, it's not possible to enable it at the course level. This setting is available and needed only if the site-wide setting is Off, but available.
Under Administration | Course administration | Filters, the teacher must turn on Glossary auto-linking. If this is disabled, auto-linking will not work for any of the glossaries in the course.