I first tried a KMC MissingLink on my Shimano chain, and it skipped exactly as yours is. Looking at the KMC link, it does not have the chamfering in the mid-section of the plates it should have. It is a "fail" design. I then got a Sram PowerLink. Looking at it, I could see that it was indeed chamfered as it is supposed to be, and it worked perfectly. So do yourself a favor, throw the KMC in the trashcan where it belongs, and get yourself a Sram PowerLink instead.