If you set AllowSplitLinks = true, you should be able to split a link by selecting it and dragging any point along its segment to insert a new point. This does not work for Bezier links at this time.

Adding new segments can be done by inserting new points into link.ControlPoints. E.g. this divides the first link's segment at the mouse-click position:

private void diagram_LinkDoubleClicked(object sender, MindFusion.Diagramming.LinkEventArgs e)
{
	e.Link.ControlPoints.Insert(1, e.MousePosition);
	e.Link.UpdateFromPoints(false, true);
} 

You will have to add more points per segment for cascading and Bezier links to keep their shape consistent.

I hope that helps,
Stoyan