Yes, as pointed out above you need zwavejs2mqtt. Zwavejs2mqtt, which is what I use and is the community addon, includes a control panel which will allow you to set direct zwave associations between devices. Instructions and screenshot for setting them in zwavejs2mqtt are below:
I know all the documentation directs you to the “official” zwavejs addon, but it still does not have all the advanced features enabled that are accessible with the zwavejs2mqtt control panel, including setting associations. I know it can be a bit confusing but this writeup helps explain the install differences with zwave on Home Assistant, including zwavejs vs zwavejs2mqtt
There might be some “workaround” way to set the association using the included API in zwavejs without the need to switch to zwvavejs2mqtt, but in the end it would probably be easier to just switch to zwavejs2mqtt and use its included control panel for this. Zwavejs2mqtt can still use the same zwavejs integration in the integration screen on the Home Assistant side and you can disable the mqtt if you don’t want to use it that way.
Also below are instructions for installing the zwavejs2mqtt community addon: