Is that possible to customize polyline links? for example, to modify the icon of joins and colour of links
Yes.
If you want to change the appearance of an unselected Link, it’s entirely controlled by the link template that you are using.
If you want to change the appearance of a selected Link, that depends on Link.selectionAdorned and some of the Tools which determine the appearance of any tool handles.
When that is Link.selectionAdorned, as it is by default, the selection appearance is controlled by the Link.selectionAdornmentTemplate. When it is false, it is entirely up to the link template. These issues are covered in GoJS Selection -- Northwoods Software.
For the appearance of any tool handles, it depends on each tool. Read about them at GoJS Tools -- Northwoods Software.