Is the function to link files to specific activities from within Dolphin still implemented with current KDE Frameworks 5.9.0, KDE Applications 15.04?
I ask this because I heavily used it in the KDE4 days but now I don't find a way to use it on Kubuntu 15.04.

EDIT: I have baloo-kf5 and dolphin 15.04.0 installed. Do I have to remove baloo-kf5 and install baloo4 instead?

Does it work if you do it from a Folder View? Dolphin is still 4.x based (will be KF5 based in Applications 15.08), so that may explain the issue.

Activities have nothing in common with Baloo atm.

As einar said, it will need new dolphin.

With folderview I am able to link a file to an activity, but I am unable to see that file in a folderview on the activity where the file has been linked to. (yes, in the target folderview I ticked "show files linked to the current activity").
That happens on a system upgraded to Kubuntu 15.04 with Plasma 5.3.0 backports.
On a kubuntu 15.04 and stock Plasma 5.2 fresh system, linking files to activities does work without problems.