This is also true in ALM 11.0 and possibly QC10 as well.
To link a test to a defect after the test was created or run is also possible. For executed tests, in the Test Lab, go to the test set, select the test instance, double-click the test to open the Test Instance Details window. On the left-bar, select Linked Defects. Then there's a button to link to an existing defect (or even create a new one - which will be link to the test run).
Similarly for tests in the Test Plan module, select the test and go to the Linked Defects tab and click the button for linking existing defects or create a new defect - to link it to the test.