According to "http://www.w3.org/1999/xlink" namespace you are supposed to have href
attribute, which you are not adding. You should get XML similar to this: http://stackoverflow.com/questions/12778958/how-to-set-the-multimedia-link-field-using-core-servicehttps://stackoverflow.com/questions/12778958/how-to-set-the-multimedia-link-field-using-core-service
The best way to solve your porblem is to create link manually (through UI) and then make sure you recreating the same with the code.