Originally Posted by
wschruba
There's no reason to use one until you need (?) to break the chain, for whatever reason. The chain does come with the connecting pin, after all.
I've tried installing one of the connecting pins that come with the Shimano chain in the past. I ended up breaking the chain not much later on (one side of the link came off of the pin. I used a Park chain tool so maybe that shouldn't be used for that purpose? Who knows... This is a big reason I don't like Shimano (and any 9, 10 or 11 spd chain w/o a master link) in general. I switched to KMC which comes with the master link and never looked back. KMC is cheaper also (at least the non SL version). I recall being able to remove and install chain pins for older 7 speed all day long. Once I got 10 speed Shimano, I got a little lesson in just how finnicky the pins for that can be.
But to get back to the original question: Yes you should be able to get a master link from another vendor on a Shimano or other chain without a problem. Assuming that the master link is meant for that type of chain. I successfully used a Wippermann connex on a Shimano chain several years ago.