If you have the newer (model 1708) XBox One Wireless Controller, you can get it to work with a Steam Link on native Bluetooth pretty easily. But if it’s straight out of the box, the rumble motor won’t work on the controller.
In order to make it work, you’ll need a PC with Windows 10 and the Anniversary Update installed. Go to the Windows Store and install ‘Xbox Accessories’ by Microsoft.
Then, plug in your XB1 controller with a USB cable into your PC (shut down Steam first). The PC will then prompt you to update firmware on the controller. Do so. You’ll then have to repair it with the Steam Link, but once that’s done rumble functionality should work.