If you have an application that's an Add-in or a Link, you should consider if it's an Office Add-in. If it is, do you have Office virtualized in your environment? If you do, Deliver it with App-V and use a Connection Group. If Office is not virtualized, you could use RunVirtual or modify the local Excel, Word or whatevers shortcut target with the appvve switch pointing to the sequenced Add-ins ProductID and VersionID as explained HERE. Of course, changing the Office Shortcuts in that way is a little messy. Using RunVirtual requires a level of planning and maintenance that may seem to much, particularly with Office Add-ins as they are quite common. I also talked about RunVirtual a little bit in a previous post: HERE
If your link or Add-in is not Office related, deliver it using App-V :) Though, I will make one additional point. If it's just a Website, consider whether or not you really need to use App-V. Of course it is possible to use App-V to deploy web apps but sometimes, personally, I feel like it's overkill.
If you don't end up sequencing you can deploy locally along with the parent\primary application or possible deploy all required applications via RDS or XenApp