I think the missing link is what many of us call a master-link. It's what you use to connect the chain. Make sure you understand how it works before you break the chain. Master links connect two ends of the chain that both have inner links on them. So you need to take that into account and break on the side of the link that is going to leave you an inner link on the chain.

Your chain may come with both ends already inner if this is a Master Link. But check both ends too before breaking as you don't want to correctly leave an inner link just to find out the other end is an outer link and you should have taken the links from that end instead. I've done that. It's part of a learning curve.