If you try to link a prefab to a scene object the link will not work, it may work for one Play but Unity will break it. This is because scenes are typically changing and the Project Hierarchy is not so if you change the scene and that object disappears then you have broken linkage in the Project so Unity doesn't allow it.
Now when creating Prefabs you can actually link anything in that prefab hierarchy together via drag-n-drop and Unity will recognize that all of the links are relative and aren't going to change so the prefab made will retain the links between all of the children and/or main parent object.
This is a much better method of doing prefabs when you need to assign variables within a prefab's local hierarchy than if you would use Find Child or try to use Get Parent multiple times to move up a stack. The result is the same, but its generally easier to drag the variables directly if it fits your circumstances and if it is all within the same local prefab hierarchy then you don't have to worry about it breaking the connection.
