Is there a direct link between Stegosaurs and
Nodosaurs / Ankylosaurs?
Yes. Or at least, that's the hypothesis that has the most support from
phylogenetic analyses. Although stegosaurs were not directly ancestral to
ankylosaurs, the two are considered sister groups, with the Stegosauria and
Ankylosauria sharing a common ancestor that is not shared by any other
group.
Stegosauria and Ankylosauria together make up the clade Eurypoda, meaning
"broad feet". Eurypods belong to the larger clade Thyreophora ("armor
bearers"), which also includes primitive forms like _Scutellosaurus_ and
_Scelidosaurus_.
Do all stegosaurs really disappear from the fossil
record mid cretaceous?
That's not entirely clear at the moment. There is one alleged stegosaur of
Late Cretaceous age, named _Dravidosaurus_, from India; but some researchers
claim that it's not even a dinosaur. Hopefully the identity of
_Dravidosaurus_ will one day be resolved.
Stegosaurs certainly go into a steep decline after the mid-Cretaceous. One
hypothesis is that stegosaurs, with their unprotected flanks, were
especially vulnerable to dromaeosaur attacks.
Thyreophorans as a whole are exceedingly uncommon in the Southern
Hemisphere. Maybe they were nudged out by small sauropods. Forms like
_Brachytrachelopan_, _Nigersaurus_ and small titanosaurs show some
convergence with thyreophorans, at least in terms of the possession of body
armor (titanosaurs) and overall morphology.