Jan,

     This is a common feature request and a limitation of the current links module. When the module creates it's list of links, it does not check the permissions of the pages (if the links are to pages). As of now the is not an active module for development. This has been mostly due to an intense work schedule as well as helping out with the blog module. Well the good news is the intense work schedule is coming to an end and this will free up time for me to start working on the module actvely again. If you would not mind, please go to the project page and under feature requests, request this as a feature. This will allow others to vote on the request, the more votes the sooner it gets done.