Is it possible to like.. make the bonus links circles instead of squares? I've never seen circle shaped bonus links.. and if you can do circles, would you also be able to do rectangles? That'd look even more awesome. =]
I think map guidelines recommend bonus links to be rectangles, and it is usually best for maps to be consistent with each other. There are some exceptions which make sense (like the one map Segrain linked), but then you should at least be consistent within the map (that one is, of course).
There are also two limitations - first, the number will be displayed at the center of bonus link, where "center" is defined as the point as half of height and half of width. This will fail hard for non-standard shapes, and even the creator of the linked map had to use some crazy tricks to, for example, place the number is a place where it will be readable for Croatia.
The second limitations is that the border will always be yellow.
I didn't think of it when you asked before, but what Metaltubbie did was just set the stroke's opacity to 0. WarLight changes the color to yellow, but it uses your opacity.
Using this you can turn off the yellow border. Additionally, you could place your own object behind the bonus link, and make it slightly larger to make it look like a border. Then you can use any color you want.