No, there's no link between stars. To you may need to hover your mouse over the wormhole to see the connecting link, I know it's not always visible. It may also highlight when you hold down alt (tactical overview). I actually don't play with wormholes much, so someone else can confirm when exactly the link shows. But it does!
It will look like on this screenshot, you can easily see the connecting wormholes:WWW Link