Once you create a new project, there is a dialogue asking you which Guideline you want to base your project on. This happens because you'll be able to access information defined in your Guideline (such as colors, typography, etc.) from within your Workspace or the Frontify Sketch Plugin.

If your Frontify Sketch Plugin tells you that "Your project is not linked to a Frontify Guideline," simply create a new project and choose the Guideline with the relevant brand definitions for your current projects.