They are supported but only via Component Macros. You can drag a Component Macro from the tree on the left on top of a button and it will add the 'Link' to the actionlist of the button. So create yourself a macro category (be sure to assign a ProntoScript Name to both the category and your macro if you want to use them via prontoscript). The Macro Category is the equivalent of a GUI page in the old world. Likewise the Component Macro is the equivalent of a button on said page. In this new world, there is no UI view of these things.
If you start merging configuration files together, you will quickly see why they did away with 'Links' in earlier releases. If you merge a new file into your own config, you will see the extra Home Page created as well as the extra MacroCategory with the single component macro.
Without links, one is forced to keep IR codes in components (building blocks). Ironically enough, if you are familiar with Classic Prontos there were Devices and Macros. If you crack open the ConfigEdit.xml file inside your xcf, you will see that the 'Components' in Building Blocks are actually named 'Device' in the xml and the equivalent of a Classic Macro is the 'Activity'.
