That has become a little convoluted, it used to be more simple. What always works for me is go to Object -> Apply -> Make Instances Real. Then after that go to Relations – > Make Local – > Selected Objects And Data.
Basically what your telling Blender is to make your object real and part of the scene. There’s other options now and it used to be one step instead of several. Admittedly I always just hit a couple of those without knowing exactly why it is now like that and at least it all works out. Hope that helps.

