System Information
Operating system: Windows-10-10.0.18362 64 Bits
Graphics card: GeForce GTX 1070/PCIe/SSE2 NVIDIA Corporation 4.5.0 NVIDIA 441.87

Blender Version
Broken: version: 2.81 (sub 16), branch: master, commit date: 2019-12-04 11:32, hash: rBf1aa4d18d49d

Short description of error
"Make link" Crtl=L doesn't seem to be working with modifiers

Exact steps for others to reproduce the error

1. Create 2 Grease pencil monkies
2. Select a Hue Saturation modifier for one the monkies
3. Change the monkies colour using the hue saturation modifiers colors
4. Select the other monkey and then select the monkey with the hue saturation modifier on it last
5. Make links (Ctrl +L )
6. Modifier doesn't link across

Note:
It does work in the opposite direction taking the modifier off.
I also noticed that effects wasn't on the list as well I thought it was?
And after all testing all the modifiers it seems that it doesn't work for any of them.

If you have any question just ask.

Blend File

System Info