if you go with one of those high-end japanese track chains (izumi, etc) it wont come with a master link like you're used to seeing. i forget exactly how it looks, but there is a link with a little bolt or screw that holds the whole thing together.
if the chain you're using came with a master link, it'll be fine to use. i havent had any problems with mine. it's held up fine to the little bit of abuse i can manage to give it while racing.