Dropbox integration (at the moment) is used for backups of your Dynalist stuff, not for directly linking from. If you want to attach something from Dropbox, you’ll have to manually create the link and maybe use one of the formatting tricks when you paste it to a list item.
Admittedly, this would be a great enhancement. Linking directly from Dropbox or Google Drive would probably save a lot of overhead for Dynalist, give a sense of security of our files, and solve my problem of not being able to upload anything to my lists from a mobile device.