Using non-Shimano link with Shimano chain?
In general a SRAM or KMC link for an 8 or 9 speed chain will work fine with a similar Shimano 8 or 9 speed chain.

If you are dealing with a 10 speed chain I believe you will run into a compatibility problem as one brand is sightly narrower than the other (I can't remember which way and I only deal personally with 9 speed or lower).

I've used a SRAM power link on a Shimano HG-40 for a while now with no problems.