It’s because I changed the language to Italian. Believe it or not, they vanish when the blog is on English, the language I’d rather have it on. I had just been playing with different languages… and then when I put it back to English they disappeared.
Here, I’ll put it back to English so that they will vanish.
There was a similar complain a couple of days ago, with the exact same symptom: links gone, just the list symbol remaining. I can’t search for the thread now, but, if I remember well, the OP reported that he solved the problem by removing the links widget and adding it back again.