How to append css class to menu link?
This is an easy one, I'm pretty sure you might have figured out yourself in a short while.

You see that set classes directive?

{%
  set classes = [
    'menu-item',
    item.is_expanded ? 'menu-item--expanded',
    item.is_collapsed ? 'menu-item--collapsed',
    item.in_active_trail ? 'menu-item--active-trail',
  ]
%}


This is where the magic happens and the classes array is built for all CSS classes to attach to your link item(s).

And this is also the place where you should add your additional CSS class that should be used in every link item, like so:

{%
  set classes = [
    'myCssClass',
    'menu-item',
    item.is_expanded ? 'menu-item--expanded',
    item.is_collapsed ? 'menu-item--collapsed',
    item.in_active_trail ? 'menu-item--active-trail',
  ]
%}


Leaving the rest of the template untouched (especially the {{ item.attributes.addClass(classes) }}) gives you the desired behavior.

Some further reading, that might be of interest for you: https://www.drupal.org/docs/8/theming-drupal-8/using-attributes-in-templates