It looks that by default WordPress had hierarchy only for page/post categories and not for links categories.
How can I enable that?
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You can not enable that, it is not supported, on top of that there is no meta table for links :)
For one of my sites: http://populair.eu I wanted to put each link you see on there in a hierarchical category (obvious if you see the layout). But since it was not supported I put all links in another format and wrote a template to display them in this way.
I just created a plugin called Hierarchical Link Categories that enables that functionality. Check it out!