IMHO, it seems that light linking in Mental Ray works in two ways. With Global Illumination (GI) off, light linking works as expected. With GI on, light linking still works in regards to illumination but not shadows.
With GI on, you can turn shadows on and off in Mental Ray on by using the shadow flag in the mental ray options of the object's transform node. Otherwise shadows do not obey light linking with GI on (sad but true).