I have connected the TX/RX port of one radio to the RX2 port of the other with an RF cable as a simulated radio link.
DO NOT DO THAT.
Always, always, always, in any case, under all circumstances, use an attenuator when directly connecting the output of one radio to the input of the other.
Have I been setting my gain too high / frying my radios?
Ettus specifies -15 dBm as the maximum damage-free input power for nearly all of their radio frontends, with the B200 being a bit of an exception and taking a couple dB more. Depending on the daughterboard in your N210, your frequency, sampling rates and of course the signal you're sending, the other radio might be producing up to 20 dBm. That's more than 2000 times the damage-free maximum input power.
This is damage-free. Not sensible input; stop what you're doing now, use an attenuator, there's no excuse.
How high is too high? What gain settings should I use in my link mockup?
Depends on your N210 daughterboard, and the signal you're transmitting. On https://files.ettus.com/ you'll find performance charts, which give very rough output powers for a single tone signal at full amplitude given frequency and gain for the common daughterboards.
If I connect to a signal generator or antenna link, what power attenuator should I use?
There can't be no general answer to that, but the obvious one: enough attenuation to guarantee your input power stays solidly below -15 dBm.