I know the official answer from Shimano is you can only use their quick link, but practically is it okay to use SRAM or KMC links?
Specifically, I have the Shimano HG-40 chain.
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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.