Songs will never affect the clown or gypsy themselves without a link. There is a skill called Longing for freedom that will allow a clown/gypsy to move about in the duet and use some skills, but in a duet, only one of the two people can use longing. However, if both are linked, any duet will affect both of them, so technically, if you had enough people, you could link yourself, play Mr. Kim, and then leech for better exp, but I'm not sure if your leecher would need to be in the duet or not, I've never tested that particular duet.
Bottom line: Duets work the same as solo songs, they will not affect the clown/gypsy without a link.