I have done it many times, and I haven't ever had a problem. Though this could also be because most of the bikes I did it to probably bit the dust long before the chain did (Based on how I see people ride bikes these days)

So why would a masterlink NOT work? I could imagine it being a bit too loose, which'll eventually destroy the link, but I seem to see chains go long before that.

On that same note, re-using masterlinks between old and new chains.... Yeah.