There were gaps, but the size of them is uncertain. Adrian Goldsworthy in his very comprehenisive 'The Complete Roman Army' (Thames and Hudson, 2003) states that the the gap size were "largely conjectural" (pg 46) for modern scholars. It bears remembering however the the Cohort Legion was very fluid in the formations it could achieve, so both gaps and a solid frontage were likely employed by generals across the ~400 year lifespan of the cohort legion according to their opponents. Certainly for marching towards the enemy gaps were maintained to avoid falling into disorder with the polybian legions (pg 27), but as to engaging with the enemy it seems likely that against other fluid battle lines (think other Romans or Celtic charges) a solid front is advantageous, but perhaps against solid formations (think the very immobile hellenistic phalanx) that presenting a gap in the lines could cause that formation to pull itself apart, thus guarenteeing victory. Hope this is useful to you.

Goldsworthy, Adrian, The Complete Roman Army, Thames and Hudson, London, 2003.