To be fair, Megaupload used deduplication pretty extensively. So to remove the file would be to remove it from every single user whether they shared the URL or not. Any number of those users could have the right to a copy of the file in question or live in a country where copyright law just plain doesn't apply to sharing files (e.g. somewhere it's OK as long as it's down without commercial gain).

Removing just the link to the file seems reasonable to me. How do you choose which country to break the law? Removing just the link seems like the safest bet.