Views taxonomy contextual filter?
I have embed view that shows “Links”. How can I only show “Links” that
  have the same terms as the actual “Media”?


I'm not sure you used Entity Views Attach module to attach the View or just placing the View as a block. 

Whatever it is, you can do it. But if you have EVA, you will be able to set the current node ID argument easily. 


Add a new View as Show: Content, Of Type links. Continue and Edit.
Then, in the Views UI, you will see a filter to show only Link nodes are added. Now, add extra fields you want from the Link nodes.
Set configuration as marked in the image below.
Save the View. 
Save the View and enjoy!


if you have EVA module, do not set to inherit node ID to the View (it will give wrong results). Send the term ID as argument(s) if possible.