There are usually lots of missing links in a chain, so to speak, but a "missing link" typically means
any (reasonably estimated to be) definitive ancestor of Species 1,2,3...N, where 1,2,3...N are believed to be descended from a common lineage, but there is no extant proof of such. Even if there are 200 missing ancestral species in a theoretical lineage, a "missing link" is any of those 200 that demonstrates that the lineage existed, and that establishes its directionality. A missing link is a sufficiency, not necessary the completer of a set.
To your point: the word "link" implies that only one piece of a chain is missing, and furthermore, it suggests a linear relationship. It's misleading in both of those cases. But it makes for a good, easily understood metaphor.