The correct action to classify the alert would be to set the status to In progress. While the alert may seem to be legitimate as it is linked to another incident, until a final determination is reached, you should set the status to In progress to ensure that others know it is being worked on. Once a determination is reached, you can then change it to Resolved and select the appropriate classification (True alert or False alert).
The correct action to correlate the alert to the other incident would be to select the Link alert to another incident option. While ideally the alert would automatically be included in both incidents, that is not always the case. If you notice an alert that is not linked to an incident that it is clearly connected to, using the Link alert to another incident option ensures they are tied together.
You should not set the classification to True alert. While a point can be made that it seems this malicious file involved in multiple incidents is likely to be a True alert, you are not yet able to make that determination. It also is not time to classify it as a false alert. The best practice while continuing an investigation would be not to change the classification at all, which means leaving it as the default Not set classification.
You should not enter the Incident ID of the related incident in the Comment section. While this might be helpful from an administrative perspective, it creates no link to the other incident.
You should not set the status to New. This is the default status of any alert. The question specifically seeks to ensure your peers know the alert is being investigated, so setting (or leaving) the status as New would make it impossible to differentiate from other uninvestigated alerts.
All of the actions mentioned in the options can be found in the Manage alert pane, which can be reached via the Alerts tab in the Incidents section of the Microsoft 365 Defender portal. This is an excellent central location from which you can manage incidents, and the components that make them up, including alerts.