Unfortunately, CSV Import doesn't support issue links -- this is a limitation by design on JIRA Importers Plugin. There's an opened feature request for including this functionality in JIRA Importers Plugin, but there's no release date yet. You can see it on the issue JIM-640.
Please feel free to vote on it to increase its popularity and don't forget to add yourself as watcher to receive any latest updates from the developer and feedback from other users that is facing the same problem as well.
Use JSON (beta) format to link issues. It's available in recent versions of JIRA Importers Plugin. Check https://confluence.atlassian.com/pages/viewpage.action?pageId=293830712 to see how issues can be linked (there's a sample JSON file with links).
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