Where do I set up a rule that connects two modules?

Always in the module where the action is supposed to happen. That is the only rule to remember.

Where the event comes from does not matter. What matters is where something should happen:

• you want the order status to change after a pick is closed in WMS — create the rule in OMS, under Orders → Automated actions;
• you want rules to run on products after an order lands in OMS — create the rule in WMS, under Automated actions;
• you want products to appear in a sales channel after you extend the offer in PIM — create the rule in OmniChannel, under Automated actions.

Open Automated actions, click Add automated action and pick a trigger from the list. Triggers coming from other modules are in the same dropdown as local ones — nothing to search for separately, nothing to switch on.

One exception is worth knowing: some actions reach into another module themselves — in WMS, for example, Fetch an order from OMS or Fetch product information from PIM. You still create the rule in WMS, because that is where the action runs; the action simply reaches elsewhere for data.

You can narrow a rule with conditions (for example only for a chosen order source, or only for paid orders) and assign it to a group of actions so things stay readable once you have many rules.