So it turns out the new chain I bought came without a manual of instructions, just the general "be careful, ask the mechanic if you're not sure and we're not responsible for 'normal wear' and so on". Then, all instructions I found when googling the chain model (HG-40) came without a quick link. It took me a long search on this board to find out which model my link was (SM-UG51). When I knew how to go on, it was pretty straightforward, but I don't think I'd figured it out on my own. So I want to let them know about that. What's your suggestion, go to the LBS and ask them to inform the dealer? Write to Shimano? In this case, where to?
Thanks a lot!

What's your complaint here? The lack of documentation? Or the lack of the pin?

If it's the documentation, then I'll agree that the included documentation with most Shimano stuff is useless, however their website has pretty much everything you need.

Lack of documentation, basically.

It is probably left off intentionally due to lawyer suggestion.

If they distribute with general directions, they potentially open themselves up for lawsuits when some creative idiot figures out an ingenious way to do something catastrophic while technically following the directions provided. If all they do is say "If you don't know what you are doing, go to a shop" they are in theory ensuring proper installation.

Open a window and yell ?!

Documentation is online . Pieces of paper that come in component parts boxes are duplicated ..

Shimano has user manuals which are typically the documentation provided in the box and dealer manuals with the installation/technical information. Look for the dealer manual for your chain here.

I recently built a bike, and all the documentation that Shimano gave me with every part of a 6800 groupset was very little more than a legal notice.

I just download the dealer manuals and user manuals for each part and stick them in my Dropbox account. This way I can pull up the documentation on my phone/tablet when and if I need it.

Change to KMC chains For my derailleur equipped bikes with 8 and less speed, I use KMC X8.93; for 9 speed KMC X9.93 - they come with master links.

I'm not surprised that your chain did not come with a master link. There may be none. It is an 8 speed chain selling for $6.99 at Chain Reactions Cycle and there is no master link listed. A quick look at Niagara Cycle shows Shimano chain pins for sale but no master links Components - Drive Train - Chains - Chain Links - Niagara Cycle. This means you join the chain by pushing out a chain pin and then replacing it with a new one after you shorten the chain to the right length. The pins cost quite a bit compared to the cost of the chain. It is a PIA way to link chains and for me an obvious reason for using KMC chains instead even though the 10 speed ones I use are about $22 (with a quick link of course). Shimano probably couldn't give a rat's petoot about your complaint. Their main business is with bike manufacturers who buy their parts by the gross.

Here's a link to the users manual and the first thing it shows is the chain pin used to link the ends of the chain https://vid.artscyclery.com/pdf/Shima...sp%20Chain.pdf Took me about 20 seconds to find it online,

My chain did come with a master link. Just with no instructions on how to mount it (Which weren't that readily available online, I actually found the info here in bikeforums).

I'm finding more products are not coming with paper documentation. Many times they expect you to go online if you need instructions.

If it came in the Box extra copies may be in a bin at the seller's Bikeshop.

I bought a scalpel, and it didn't come with instructions on how to do brain surgery...

If you need documentation for a chain....

And like someone else said, above....KMC's are as good as Shimano (if not better) and come with a Kwik Link.