For the most part linking data will work as expected, however,
there are some corner cases which are not supported.
In general, dependencies should not go in both directions.
Attempting to link or append data which links back to the current file will likely result in missing links.
Object Rigid Body Constraints
When linking objects directly into a blend-file, the Rigid Body settings
will not be linked in since they are associated with their scene’s world.
As an alternative, you could link in the entire scene and set it as a Background Set.
Compression & Memory Use
Linking to blend files with compression enabled may significantly increase memory usage while loading files.
Reading data on demand isn’t supported with compression
(this only impacts load time, once loaded there is no difference in memory use).