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You actually can cast it even on a magic immune enemy. I admit I'm not 100% sure it takes damage away from the enemy hero you link (although I think it does), but I am positive you can cast link on an enemy that is at that moment magic immune and it will give you the damage. I did it just today in several games.
If you're fast on the uptake you can get it in first during a fight (esp. if they get stunned or disabled) -
Mnoi, occasionally I might get
EDIT:
http://www.youtube.com/watch?feature=player_detailpage&v=PaNOJycvk5Q#t=1m55s
That says it can go through magic immunity. I can't find anything about it not going through in recent patch notes.