Datalinks is not supported starting with v9.1. dbm cfg info is stored in .../sqllib/db2systm. datalinks info is still stored in this file and I suspect that's why update dbm cfg worked. I'm not sure how you can view this info unless you find a way to read this binary file. I think the easiest way for you to show that it's turned off is to do the following:
db2 update dbm cfg using datalinks yes
db2 update dbm cfg using datalinks no
and then db2diag.log will contain the following entries:
CHANGE : CFG DBM: "Datalinks" From: "0" To: "1"
CHANGE : CFG DBM: "Datalinks" From: "1" To: "0"