It's possible their individuality dissolves when they slip into the Link and they regain it when they leave. What one experienced is experienced by all once an individual dips back into the living ocean. This was greatly evidenced in the final DS9 episode where Odo spreads the cure for the morphogenic virus just by rejoining the Link. He became its savior.
If just two Changelings link up, they form a mini-Link. But it's also been shown that they can control what information is passed around--Odo said during his judgement he sensed they were hiding things from him.
Also, once, Odo and the female Changeling had sex in their solid forms because Odo wanted to show her how solids experience intimacy, and she said it was just a pale shadow of what the Link offers. In a way, I see the Female as Odo's antithesis in the series. She's everything he wants to be, but in a way so twisted he turns away from it until she's taken out of the picture.
Think of the juxtaposition at the end of the series. The Female gets stuck in a prison, away from the Link after living it her whole life. Odo is 'released' by Kira and joins the Link after spending much of his life without it.
I think WITHOUT the Female calling the shots, the rest of them would realize solids aren't so bad via Odo's memories. After all, his SOLID friends risked their lives for HIM to cure him of the virus that was killing the Changelings.