Package: nautilus Version: 3.22.3-1 I'm using a standard installation of debian 9 rc3 (kernel 4.9.0-2-amd64) with default desktop environment, installed with italian language. So even if I'm writing in english, the context menu problem I'm describing is referred to the italian interface of nautilus. However if you drag the file holding Ctrl+Shift it makes the link.
But the best was in debian 8.7.1 with nautilus 3.14.1-2 because there was the simple "Make link" in context menu. Never leave the best go away...

