In 3.0 it seems to work: Apply the scale + rotation of the links, set the origins to geometry, add some edge loops, and it will work fine. You can also tweak the Substeps Per Frame and Solver Iterations values in the Scene > Rigid Body World panel:



It seems buggy in 2.7 so what you can do is first apply the transforms, set the origin to geometry and edit the geometry, then use this answer by Gandalf: Select 2 adjacent links, go into the left panel > Physics > Rigid Body Tools > Constraints > click on Connect. It will create an empty between the 2 links. Select the empty and in the Properties panel > Physics > Rigid Body Constraint, choose Type > Point and uncheck the Disable Collisions option. Select the 2 next links and do the same until the bottom. In order to avoid shakings, go into the Properties panel > Scene > Rigid Body World, increase the Solver Iterations up to 10:

