When migrating our TFS project from TFS 2010 to Visual Studio Online a number of the Work Item -> changeset links do not appear to be migrated - I can confirm however that at least some are successfully migrated.
For the problem work item in Visual Studio Online I can see that there is a message in the work item history "Associated with changeset XXXXX", but the "All Links" tab shows no links.
I have discovered that Work Item -> Changeset links will not be migrated if the data for the Work Item is considered invalid. For instance, this occurs for us when existing work items have a custom State value (which can occur if you have previously customised your WIT project template as we have, and subsequently remove all customisations prior to the migration without updating any field data). You can generally tell if this is causing the work items to not be migrated as you will see a validation error when viewing the work item on Visual Studio online, e.g. "The field 'State' contains the value 'New' that is not in the list of supported values". However, this does not appear to be the only reason for this problem to occur as some of our problem work items do not exhibit this trait.
Are there any other known reasons for why Work Item links might not be migrated?