Kristof,
Its not currently possible to have pinned filters stick when using links. The work around you are using works and is the expected behavior for pinned filters to work across dashboards, i.e. to open dashboards using the link in the upper right hand corner. When you click on a link, you are modifying the global state, which causes the filters, etc. to be removed. If you feel this is a feature that should be added, you can always file a feature request issue here.