It's certainly not what I would call an idiom - a group of words established by usage as having a meaning not deducible from those of the individual words. Google Books has just 8 instances of “another link in the daisy chain”, and most of those are this Lolita quote. That's as opposed to 143,000 for “another link in the chain”.

The word "daisy" in OP's version probably doesn't add any meaning - it's only there because the writer is aware of the actual idiom daisy chain, which as a noun can mean a series of associated people or things, and as a verb can mean to connect (several devices) together in a linear series.

In general, chains are strong (though in the context of a chain, a link is usually the weakest link). Daisy chains, on the other hand, have no connotations of strength - they simply convey the interconnectedness of the "linked elements").

Note that later in the text, Nabokov writes "I still have, vibrating all along my optic nerve, visions of Lo on horseback, a link in the chain of a guided trip along a bridle trail". I personally do not think it would make any difference to the book if he'd swapped "daisy" to that sentence, used it in both, or left it out altogether.

It's an astute observation, whilst they may seem to mean the same thing, the two idioms convey very different contexts and emotions:

To each their own

This particular expression conveys a resigned acceptance or dismissal of someone's choice. It definitely is a comparative statement.

Its emotion tends to be particular to a subject that has a limited feel to it. For example, if you like a sherbet over ice cream, I might say "whatever, to each his own". It not only conveys choices, its direct-predicate comes across as being inferior.

If you want to get a relative feelings, consider the following (and contrast with the expressions later on)

Hercules: "Venus uses seduction, whereas I believe in strength, to each their own"
Venus: "I use seduction, Hercules believes in strength, to each their own"

Both of the speakers seem to convey that their own choice is superior to the other's, otherwise the syntax of both dialogs is pretty much identical.

A law unto themselves

This expression conveys a reverence, or a sense of awe, about the entire disposition towards the predicate. Here there is the dismissal of everything in favour of the predicate:

In contrast to the to each their own, the meaning remains identical irrespective of the speaker:

Commenting on Hercules' strength:

Hercules: My strength is a law unto itself
Venus: Hercules' strength is a law unto itself.

I am not sure if this clarifies, I hope it does.

While this explanation may not be a law unto itself, it is, however, useful. Although you could choose to ignore it, after all, to each their own.