What is the step in the masternode setup that links a masternode privkey (the one you specify in darkcoin.conf) with the funded wallet address ?
It links together on "masternode start"
For example, I'd like to set up 2 masternodes. Can I use the same wallet for them both just by generating a second address and second masternode privkey ?
The only thing I'm not very sure of is how do I know which wallet address applies to which masternode privket that I generate.
Yes, you can do this by using "start-many". However this feature is experimental.
More info on current implementation/setup
https://github.com/darkcoin/darkcoin/pull/62Can I stop and restart the remote masternode without ever bringing the cold wallet online ?
Not sure what you are asking exactly. In terms of "masternode start" and "masternode stop" - no but you can restart daemon as usual (darkcoind stop) without the need of issuing "masternode start" again.
Does the remote masternode always ckeck for the 1000 DRK if I restart it ? How does it know what wallet address to check ?
Yes, it does. Actually everyone check everyone. When MN is started by "masternode start" it sends message that it's now associated with some vin (txid + output number) where 1000 DRK is, some masternodeprivkey and ip address. You can associate it only with your own 1000DRK because you need to sign that message with the corresponding private key. Every message this MN will send then should be signed with that masternodeprivekey. So when some MN is trying to do something anyone can verify is it legit or not (is 1000DRK still there, does signature match and so on).