In order to link a dynamic scan to an asset the scan has to be initiated from the asset record from a work item (incident, problem or change) that has the asset associated with it. If the dynamic scan is run from the main create menu or from a desktop toolbar icon it can't be associated with an asset record. I will pass a feature request over to our development team as it seems like you should be able to lookup the asset you want to associate any dynamic scan to even if the scan is run from one of the desktop options.