It took me a moment to remember to move the my link order widget over too :p
I'm having a problem with this plugin though. I've had the same problem since 2.3.2, and it's continued over to 2.5.1.
Most of my link categories are fine, but when I go into 1 specific one to re-order links after adding new ones, it calls up all the links from 3 different categories, all jumbled together in a weird higgledy-piggledy way. I have to try to re-order the links that should be in that category as best I can, then go into the other 2 categories and re-order them again, because they have been messed up by working on the other one, iyswim.
To illustrate: my blog is http://www.catherinebuca.com/blog The offending link category, on the right, is "photography". Whenever I go into that to re-order, it lists all the links in that category, plus all the links in "photo blogs – the pictures" and "photo blogs – the words". They are all out of order and mingled together. I try to order the "photography" links as best I can, but saving then messes up the link order of "photo blogs – the pictures" and "..... the words". I have to go back into them individually, and re-order everything in them, which is a pita. This doesn't happen with any of the other categories. I can't work out why it's happening.