The linearity refers to the delta - that is the variation of the value of the trade with the main underlier
Trades with no optionality have a value that is directly proportional to the value of the underlier - if we plot the value against the value of the underlier it will be a straight line - hence linear trade
Trades with optionality do not have a linear relationship between value and underlier. As the value of the underlier becomes less and less favourable the value of the trade becomes nearer and nearer to zero
Unsurprisingly these trades are known as non-linear