As to the Xel'Naga creating the actual primal link, I'd actually have to support Shadow on this one. The manual says the Xel'Naga engineered many worlds for which life would grow and only came upon the Protoss when they were already using the link which they had naturally evolved. Now, one can say the Xel'Naga was responsible for the creation of the Protoss in broad terms, but they didn't specifically create the psychic link for the Protoss (as far as we know at any rate what with potential for retcons being possible). Then again, it says the Xel'Naga then guided the Protoss to "the state of total sentience and awareness". If they used the word "sentience" in the proper context and definition, as in feeling and perception on a subjective level, it could well be that the Xel'Naga did train them to use the psychic link more effectively since the purpose of the link is to allow the Protoss to "feel" each other and to work together communally. On the other hand, a lot of sci-fi writers use the word "sentience" incorrectly when what they really mean is "sapience" (wisdom). All animal life is sentient, but not all are sapient. Hard to know which they meant here.