Hey, just wanted to update.
I tried to make it work for too many hours, but it's one of the elements of Construct that honestly kind of ****** Sometimes it would be nice for certain options to have more sub-options, where the pin behavior and the drag and drop behavior only let the pinned-to object be dragged as an example (where I would like them to both move and I wouldn't even have had to create this topic). Or a better group possibility.
Instead, tutorials for Jigsaw puzzles that I checked have messy and difficult workaround where variables serve the purpose of grouping together pieces with a common pin object that keeps on being destroyed and created, after which the dragging doesn't look clean either.
It's one of those things that I would like to see managed differently, even more user-friendly like the RPG Maker series in a way.
ANYWAY I'm sidetracking, I simply made a frame for the puzzle and linked the pieces to their appropriate positions instead of linking them to each other. It's not as elegant as I would have wanted but it works. Perhaps in another update I will get back to it!