I found a similar post back in Sep of 2008 but no solution was provided.

I create a new Outlook data file (the new flavor, not = 2002) called
Test.pst in My Documents folder. I add a contact folder and a tasks folder. I
create a new contact and a new task. I right click the contacts folder,
properties, activities tab, and set up anew activity group that points to the
tasks folder. I open the task and associate the only contact with this task.
When I look at the activities tab on the contact, NOTHING IS THERE! The
activity group that I created is there but not the task that I associated
with the contact.

I have other pst's that I connect to that this feature works on, just not
sure what check box i am missing in this case to make the activities tab
work...