It is very frustrating that a link's type cannot be changed – instead I must create a new link of a different type for the same two issues, and then remove the old link.

Our users seem incapable of linking issues with the correct link type. Frequently developers get the releations backwards. Other times they chose the generic "is related to" when there is a much more specific type that is appropriate, e.g. "depends on". It is especialy annoying when there are a dozen issues linked, all wrongly.