This should give some clues, about all those missing "links",
Yes it does, but hardly in the way that you imply. The Oligocene period was a poor time for the fossilization of any kind of creatures in Africa, not just mammals. Successful fossilization and subsequent modern fossil discovery and recovery rely on a number of climactic, ecological, and geological conditions being met, and Oligocene Africa was not a good time for fossil formation.
Nonetheless, although fossil formation from this time was poor, it still occurred when local conditions were suitable, and (as in the above article) African fossils from the Oligocene *are* still found, just at a frustratingly low rate compared to eras or regions where fossils were more readily formed. What makes this historical accident rather annoying is that this was a time of significant developments in mammalian evolution.
Much of the evolutionary picture of that era has been filled by lucky finds of significant fossils among the sparse fossil record, but mapping out the complete picture will require decades of further fossil collection as the "lucky" fossils trickle in, compared to other regions/eras where fossilization was much more common and the larger pool of fossils to discover has already resulted in a very nearly complete picture of the local biological history.
but oh well, guess they will have wait til they meet up with old Darwin to find the answers.
You have a vivid imagination.