Take it off and put it on the right way round. A bit of old gear or brake cable to pull the quicklink together and a piece of bent wire coat hanger to hold the tension in the chain are all you need. Two minute job. Plenty of YouTube videos on it.
I’ve never had a problem with those on my bikes. I use the quicklink for the lifetime of the chain then it gets thrown away with the chain. I don’t have any 12spd drivetrains which are apparently a bit more susceptible to problems with reuse but for 10spd and 11spd it’s fine.
Edit: quite a few chain splitter tools have the “wire coat hanger” tool clipped onto their body. Looks like an elongated letter ‘c’. Basically you hook it into the chain either side of the quicklink to release tension.
Maybe a silly question but are the links identical in that the arrow points to the pin on both, or differ in that one has arrow pointing to the pin the other arrow pointing to the hole?
I am pretty sure the KMC quicklinks I have are identical so no matter which way round you put the link one arrow points backwards, you would typically put this on the inner but I genuinely cannot see how it matters.
Shimano quicklinks, interestingly or not, are the same part no for 105, Ultegra and Dura Ace. The 105 chain has the Sil Tec coating apparently only on the inner plates, Ultegra inner and outer and Dura Ace both again but with hollow pins.
From using all three I have never noticed any difference in shifting performance and between 105 and Ultregra no weight difference either. Needless to say I stick with 105 and buy the OEM / trade version.
On the quicklink I have had 2 KMC links go loose after being reused a couple of times, one was noisy with slight front/back play and they other was close to genuine failure with side play (outer bent).
I have also, again with KMC links, seen significantly faster wear of the quicklinks than the links in the chain itself. Worth keeping an eye on but can’t see Shimano fitting these as standard without them lasting the life of the chain - that said they do stipulate single use.
