When I create a GoLink with a different color than the other links and add it to my GoView all other links change their color as well. Why does that happen?
Probably because you are modifying a Pen instead of creating a new Pen. You are not allowed to modify a Pen (or a Brush or other objects that use Windows resources) once it is in use. You might get exceptions if you do.
Furthermore, GoDiagram has the convention that setting the GoShape.Pen or GoShape.Brush, or any of the other properties that take a Pen or a Brush, is a "use" of that Pen or Brush, even if the GoView isn't actually visible at the time. That's because internally we intern and cache Pens and Brushes, so as to avoid using a zillion black Pens, for example, when just one would do by being shared by all the shapes.
So you should do something like:
link.Pen = new Pen(someFancyColor);
link.Pen = new Pen(anotherColor, 3);
Pen p = new Pen(someColor);
p.DashStyle = ...;
link.Pen = p;