The TDataLink object should be destroyed in the destructor of its Owner, where that Owner calls Create from its constructor. 

Do not call Destroy directly in an application. Instead, call the Free method. Free checks that the TDataLink reference is not nil and only then calls Destroy. 

Before calling the inherited destructor, Destroy removes any reference to the TDataLink from the data source object. 

DataSource 

System::TObject::Free