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'Zactly. Shimano chains use a master pin which you install and break off a small extruding section to guide it in, resulting in what you see there.

They look like this before breaking off the guide section:
https://static.jensonusa.com/images/Default-Image/Zoom/184/CH309C00.jpg

Now as for where to break it, tough call. If you break it here and then pin it back three or four more times, you may be shaving off some material on that particular link each time, and it may eventually fail there and refuse to stay pinned. This is certainly true for other links in the chain: the more times you pin them, the more likely they are to fail.

I've never experienced this problem with repeated Shimano master pinning because I always use sram style power links for this exact reason, which snap to themselves rather than forcing a pin through.
 

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To answer the other part of your question - any of the other pins will also come out. You can break the chain anywhere. That master pin is different so that it can be pushed in, but as far as I was aware, it is equal to the others in function once there. So I have always broken the chain at any of the other pins just so I am not constantly putting a master pin back through the same hole repeatedly.
 

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Shimano instruct to only re-cut a chain at a normal pin:

• If it is necessary to adjust the length of the chain due to a change in the
number of sprocket teeth, make the cut at some other place than the place
where the chain has been joined using a
reinforced connecting pin or an end pin.
The chain will be damaged if it is cut at a
place where it has been joined with a
reinforced connecting pin or an end pin.

http://techdocs.shimano.com/media/t...50H-002_en_du_ge_fr_v1_m56577569830686193.pdf
 
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