If the steel material is the same, solid stock will be stronger. But heavier, too.
For example, for a 3 foot link with 2" diameter (typical lower link)..
2.0" x 0.25" wall x 36" = 14 lbs
2.0" solid x 36" = 32 lbs
Solid bar is about 40% higher bending moment, per given size.
For equal strength, 2.00" x 0.25" wall = 1.75" solid bar.
1.75" solid x 36" bar = 25 lbs.
So, there's what you get.
However, as noted, thats same materials. Since DOM generally work hardens the piece, its stronger, so there's even a bigger weight discrepancy.
Aluminum is done with solid links because of two reasons: One, you need every bit of strength you can get with aluminum, and two, the type of alloy used fo rlinks is more or less unweldable, so its much easier to drill and tap.