When projects from 1 DC/Server (On-Prem) instance are migrated in a split manner to multiple federated sites, remote links between Jira issues are lost. 

This happens because links between projects on the same instance are stored as local links. For migration of local links as local links, both endpoints must exist on the destination. 

In a federated migration, projects are split thus links can't be local anymore. Currently there is no method to retain the linkage by converting local links to remote links.