I wonder why KDP insist on it then :
Amazon Kindle Publishing Guidelines, 3.3.7
For bundled editions containing more than one individual book, include an over-arching TOC at the beginning of the file.
I guess I'm misinterpreting; it does after all say 'the file'; so I suppose they mean 'At the beginning of the first volume, put a link to future volumes. Future volumes should be added to the existing EPUB file.' If so, I don't think they support my idea - publishing a part-work in stages, unless I just have links to 'volume N - tbs'.