Elon should really focus on the biggest natural neural link - human vision. It is a pipeline that was shaped by evolution to be the dominant sense and is as information dense as human senses go. If Elon can make use of the vision aspect by projecting integrated augmented reality systems into human vision, like Iron Man suits, then he's got it made. Direct neural connectivity is of course possible, but its pathway is like building a bridge, on the electronics side, things can evolve at the speed of engineering, on the human side, things evolve at the pace of evolution. One of those two is very slow and beyond our control at the moment. That's not to say he won't succeed, but he'll need to invest in human genomic augmentation to speed up evolution of the biological side of the link. Otherwise, it'll be the weakest part of the link.
Also, integration of human intelligence into AI loops is probably the only way to bring about consciousness into AI systems, but this would be difficult to achieve with current human anatomy.